Matches in SemOpenAlex for { <https://semopenalex.org/work/W3125697949> ?p ?o ?g. }
Showing items 1 to 72 of
72
with 100 items per page.
- W3125697949 abstract "We estimate the term structure of the price of variance risk (PVR), which helps distinguish between competing asset-pricing theories. First, we measure the PVR as proportional to the Sharpe ratio of short-term holding returns of delta-neutral index straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is performed separately for different maturities. We find the PVR is negative and decreases in absolute value with maturity; it is more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations of established asset-pricing models that assume constant risk aversion across maturities." @default.
- W3125697949 created "2021-02-01" @default.
- W3125697949 date "2015-01-01" @default.
- W3125697949 modified "2023-10-01" @default.
- W3125697949 title "The Term Structure of the Price of Variance Risk" @default.
- W3125697949 doi "https://doi.org/10.2139/ssrn.2646079" @default.
- W3125697949 hasPublicationYear "2015" @default.
- W3125697949 type Work @default.
- W3125697949 sameAs 3125697949 @default.
- W3125697949 citedByCount "4" @default.
- W3125697949 countsByYear W31256979492014 @default.
- W3125697949 countsByYear W31256979492016 @default.
- W3125697949 countsByYear W31256979492019 @default.
- W3125697949 countsByYear W31256979492021 @default.
- W3125697949 crossrefType "journal-article" @default.
- W3125697949 hasBestOaLocation W31256979492 @default.
- W3125697949 hasConcept C106159729 @default.
- W3125697949 hasConcept C121332964 @default.
- W3125697949 hasConcept C121955636 @default.
- W3125697949 hasConcept C139938925 @default.
- W3125697949 hasConcept C149782125 @default.
- W3125697949 hasConcept C162324750 @default.
- W3125697949 hasConcept C196083921 @default.
- W3125697949 hasConcept C2780821815 @default.
- W3125697949 hasConcept C33923547 @default.
- W3125697949 hasConcept C61797465 @default.
- W3125697949 hasConcept C62520636 @default.
- W3125697949 hasConcept C85393063 @default.
- W3125697949 hasConcept C91602232 @default.
- W3125697949 hasConceptScore W3125697949C106159729 @default.
- W3125697949 hasConceptScore W3125697949C121332964 @default.
- W3125697949 hasConceptScore W3125697949C121955636 @default.
- W3125697949 hasConceptScore W3125697949C139938925 @default.
- W3125697949 hasConceptScore W3125697949C149782125 @default.
- W3125697949 hasConceptScore W3125697949C162324750 @default.
- W3125697949 hasConceptScore W3125697949C196083921 @default.
- W3125697949 hasConceptScore W3125697949C2780821815 @default.
- W3125697949 hasConceptScore W3125697949C33923547 @default.
- W3125697949 hasConceptScore W3125697949C61797465 @default.
- W3125697949 hasConceptScore W3125697949C62520636 @default.
- W3125697949 hasConceptScore W3125697949C85393063 @default.
- W3125697949 hasConceptScore W3125697949C91602232 @default.
- W3125697949 hasLocation W31256979491 @default.
- W3125697949 hasLocation W31256979492 @default.
- W3125697949 hasLocation W31256979493 @default.
- W3125697949 hasLocation W31256979494 @default.
- W3125697949 hasOpenAccess W3125697949 @default.
- W3125697949 hasPrimaryLocation W31256979491 @default.
- W3125697949 hasRelatedWork W1504663044 @default.
- W3125697949 hasRelatedWork W1513241820 @default.
- W3125697949 hasRelatedWork W1561038822 @default.
- W3125697949 hasRelatedWork W1608322455 @default.
- W3125697949 hasRelatedWork W2029339545 @default.
- W3125697949 hasRelatedWork W2054706576 @default.
- W3125697949 hasRelatedWork W2103988645 @default.
- W3125697949 hasRelatedWork W2135386670 @default.
- W3125697949 hasRelatedWork W2298884155 @default.
- W3125697949 hasRelatedWork W2516615490 @default.
- W3125697949 hasRelatedWork W2617294574 @default.
- W3125697949 hasRelatedWork W2770584595 @default.
- W3125697949 hasRelatedWork W2784341994 @default.
- W3125697949 hasRelatedWork W2939388939 @default.
- W3125697949 hasRelatedWork W3121568010 @default.
- W3125697949 hasRelatedWork W3121966384 @default.
- W3125697949 hasRelatedWork W3124820826 @default.
- W3125697949 hasRelatedWork W3125546745 @default.
- W3125697949 hasRelatedWork W3190603530 @default.
- W3125697949 hasRelatedWork W2185734489 @default.
- W3125697949 isParatext "false" @default.
- W3125697949 isRetracted "false" @default.
- W3125697949 magId "3125697949" @default.
- W3125697949 workType "article" @default.