کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5095933 1376492 2015 36 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A non-linear dynamic model of the variance risk premium
ترجمه فارسی عنوان
یک مدل پویای غیر خطی از حق بیمه واریانس
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
We propose a new class of non-linear diffusion processes for modeling financial markets data. Our non-linear diffusions are obtained as transformations of affine processes. We show that asset-pricing and estimation is possible and likelihood estimation is straightforward. We estimate a non-linear diffusion model for the VIX index under both the objective measure and the risk-neutral measure where the latter is obtained from futures prices. We find evidence of significant non-linearity under both measures. We define the difference between the P and Q drift as a measure of the variance risk premium and show that it has strong predictive power for stock returns.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 187, Issue 2, August 2015, Pages 547-556
نویسندگان
, ,