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Journal of Business & Economic Statistics Volume 34, 2016 - Issue 4: Special Issue on Big Data
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Original Articles

What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?

Jianqing FanDepartment of Operations Research & Financial Engineering and Bendheim Center for Finance, Princeton University, Princeton, NJ 08544, and School of Data Science, Fudan University, Shanghai, China ([email protected])
,
Michael B. ImermanPerella Department of Finance, Lehigh University, Bethlehem, PA18015 ([email protected])
&
Wei DaiDepartment of Operations Research & Financial Engineering, Princeton University, Princeton, NJ08540 ([email protected])
Pages 519-535 | Received 01 Jan 2015, Published online: 15 Sep 2016

Citations (12)

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Read on this site (1)

Prasenjit Chakrabarti. (2021) Co-movement of volatility risk premium: evidence from single stock options market in India. Applied Economics Letters 28:14, pages 1181-1186.
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Articles from other publishers (11)

Andrés Mora-Valencia, Santiago Rodríguez-Raga & Esteban Vanegas. (2021) Skew index: Descriptive analysis, predictive power, and short-term forecast. The North American Journal of Economics and Finance 56, pages 101356.
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Xinfeng Ruan & Jin E. Zhang. (2021) The economics of the financial market for volatility trading. Journal of Financial Markets 52, pages 100556.
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Michael B. Imerman. (2020) When enough is not enough: bank capital and the Too-Big-To-Fail subsidy. Review of Quantitative Finance and Accounting 55:4, pages 1371-1406.
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Skander Slim, Meriam Dahmene & Adel Boughrara. (2020) How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence. The Quarterly Review of Economics and Finance 76, pages 22-37.
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Jeroen V.K. Rombouts, Lars Stentoft & Francesco Violante. (2020) Variance swap payoffs, risk premia and extreme market conditions. Econometrics and Statistics 13, pages 106-124.
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Ing-Haw Cheng. (2019) The VIX Premium. The Review of Financial Studies 32:1, pages 180-227.
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Juan M. Londono & Hao Zhou. (2017) Variance risk premiums and the forward premium puzzle. Journal of Financial Economics 124:2, pages 415-440.
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Mathieu Fournier, Kris Jacobs & Piotr Orłowski. (2021) Modeling Conditional Factor Risk Premia Implied by Index Option Returns. SSRN Electronic Journal.
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Michael B. Imerman. (2017) When Enough Is Not Enough: Bank Capital and the Too-Big-To-Fail Premium. SSRN Electronic Journal.
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Ing-Haw Cheng. (2014) The Expected Return of Fear. SSRN Electronic Journal.
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Dante Amengual & Dacheng Xiu. (2013) Resolution of Policy Uncertainty and Sudden Declines in Volatility. SSRN Electronic Journal.
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