Advanced search
Publication Cover
Applied Economics Letters Volume 28, 2021 - Issue 14
Submit an article Journal homepage
307
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Co-movement of volatility risk premium: evidence from single stock options market in India

Prasenjit ChakrabartiAccounting and Finance Area, Indian Institute of Management Ranchi, IndiaCorrespondence[email protected]
View further author information
Pages 1181-1186 | Published online: 09 Aug 2020

References

  • Bakshi, G., and N. Kapadia. 2003. “Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights.” Journal of Derivatives 11 (1): 45–54. doi:10.3905/jod.2003.319210.
  • Bekaert, G., M. Hoerova, and M. L. Duca. 2013. “Risk, Uncertainty and Monetary Policy.” Journal of Monetary Economics 60 (7): 771–788. doi:10.1016/j.jmoneco.2013.06.003.
  • Carr, P., and L. Wu. 2009. “Variance Risk Premiums.” Review of Financial Studies 22 (3): 1311–1341. doi:10.1093/rfs/hhn038.
  • Driessen, J., P. J. Maenhout, and G. Vilkov. 2009. “The Price of Correlation Risk: Evidence from Equity Options.” Journal of Finance 64 (3): 1377–1406. doi:10.1111/j.1540-6261.2009.01467.x.
  • Fan, J., M. B. Imerman, and W. Dai. 2016. “What Does the Volatility Risk Premium Say about Liquidity Provision and Demand for Hedging Tail Risk?” Journal of Business and Economic Statistics 34 (4): 519–535. doi:10.1080/07350015.2016.1152968.
  • Foster, F. D., and S. Viswanathan. 1993. “Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models.” Journal of Finance 48 (1): 187–211. doi:10.1111/j.1540-6261.1993.tb04706.x.
  • Green, T. C., and S. Figlewski. 1999. “Market Risk and Model Risk for a Financial Institution Writing Options.” Journal of Finance 54 (4): 1465–1499. doi:10.1111/0022-1082.00152.
  • Koopman, S. J., B. Jungbacker, and E. Hol. 2005. “Forecasting Daily Variability of the S&P 100 Stock Index Using Historical, Realised and Implied Volatility Measurements.” Journal of Empirical Finance 12 (3): 445–475. doi:10.1016/j.jempfin.2004.04.009.
  • Newey, W. K., and K. D. West. 1987. “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55 (3): 703–708. doi:10.2307/1913610.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.