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- W2023171028 abstract "We estimate post-jump volatility-decay risk premia as the predictable difference between periods of high and low diffusive volatility. By constructing straddle portfolios after positive and negative jumps occur, we show that the gains that these hedged options' portfolios yield compensate investors for the uncertain magnitude and duration of volatility decay, as well as for vega exposure. This paper adds to the literature by distinguishing between the premia after positive versus negative jumps, and by exploring premia patterns over time. In particular, we find that GARCH(1,1) is an inefficient identifier of jumps, and show that Hampel [1971] is a superior procedure. " @default.
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- W2023171028 date "2012-01-01" @default.
- W2023171028 modified "2023-09-27" @default.
- W2023171028 title "Jump and Volatility Risk Premia: Empirical Estimations Following Tail Events" @default.
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- W2023171028 doi "https://doi.org/10.2139/ssrn.2089435" @default.
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