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中国资产办理研讨中央2020-01-15 06:06:32

危害溢价与动摇率指数的限期构造

Journal of Financial & Quantitative Analysis.Volume 52, Issue 6, December 2017


著作人:Travis L. Johnson (University of Texas at Austin McCombs School of Business)

择要:芝加哥期权买卖所动摇率指数(VIX)的限期构造形状包括了方差危害而不是VIX预期变化的相干信息,该景象否认了预期假说。第二个因子身分(SLOPE)涵盖了简直一切的相干信息,并能很好地预测标普500指数方差交换合约、VIX期货、标普500一切到期日(不思索其他限期构造)合约的多空组合的逾额收益率。绝对于其他署理目标,SLOPE的预测才能在条件方差危害溢价、经济意义上的明显以及与规范资产订价模子的非分歧性方面有较大的提拔。

Risk Premia and the VIX Term Structure

Travis L. Johnson (University of Texas at Austin McCombs School of Business)

ABSTRACT

The shape of the Chicago Board Options Exchange Volatility Index (VIX) term structure conveys information about the price of variance risk rather than expected changes in the VIX, a rejection of the expectations hypothesis. The second principal component, SLOPE, summarizes nearly all this information, predicting the excess returns of synthetic Standard & Poor’s (S&P) 500 variance swaps, VIX futures, and S&P 500 straddles for all maturities and to the exclusion of the rest of the term structure. SLOPE’s predictability is incremental to other proxies for the conditional variance risk premia, economically significant, and inconsistent with standard asset pricing models.


翻译:汪国颂


地方财经大学中国资产办理研讨中央
        地方财经大学中国资产办理研讨中央依托于地方财经大学金融学院建立,中央努力于针对中国资产办理市场理论的独立学术研讨,为中国资产市场开展提供基于学术研讨的政策发起,为中国资产办理机构提供征询效劳。“以学术效劳市场,以市场查验学术”,高兴打形成在中国资产办理市场中具有肯定影响力的智库。






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