Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "10810"
  #_source: array:26 [
    "id" => "10810"
    "slug" => "dynamics-of-variance-risk-premia-a-new-model-for-disentangling-the-price-of-risk"
    "yearMonth" => "2020-08"
    "year" => "2020"
    "title" => "Dynamics of variance risk premia: A new model for disentangling the price of risk"
    "description" => "ROMBOUTS, J., VIOLANTE, F. et STENTOFT, L. (2020). Dynamics of variance risk premia: A new model for disentangling the price of risk. <i>Journal of Econometrics</i>, 217(2), pp. 312-334."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "ROMBOUTS Jeroen"
        "bid" => "B00469813"
        "slug" => "rombouts-jeroen"
      ]
      1 => array:1 [
        "name" => "VIOLANTE Francesco"
      ]
      2 => array:1 [
        "name" => "STENTOFT Lars"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:3 [
      0 => "Variance risk premium"
      1 => "Return predictability"
      2 => "Sentiment indicators"
    ]
    "updatedAt" => "2021-09-24 10:33:27"
    "publicationUrl" => "https://doi.org/10.1016/j.jeconom.2019.12.006"
    "publicationInfo" => array:3 [
      "pages" => "312-334"
      "volume" => "217"
      "number" => "2"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "This paper formulates a new dynamic model for the variance risk premium based on a state space representation of a bivariate system for the observable ex-post realized variance and the ex-ante option implied variance expectation. A regime switching structure accommodates for periods of unusually high volatility, heterogeneous dynamics and changes in the dependence between the latent states. The model allows separating the continuous component of the variance risk premium from the impact of jumps on option implied variance expectations. Using options and high frequency returns for the S&P500 index, we explain what is generating return predictability by disentangling the part of the variance risk premium associated with normal sized price fluctuations from that associated with tail events. The latter component predicts to a significant extent, and asymmetrically with respect to their sign, future market return variations."
      "en" => "This paper formulates a new dynamic model for the variance risk premium based on a state space representation of a bivariate system for the observable ex-post realized variance and the ex-ante option implied variance expectation. A regime switching structure accommodates for periods of unusually high volatility, heterogeneous dynamics and changes in the dependence between the latent states. The model allows separating the continuous component of the variance risk premium from the impact of jumps on option implied variance expectations. Using options and high frequency returns for the S&P500 index, we explain what is generating return predictability by disentangling the part of the variance risk premium associated with normal sized price fluctuations from that associated with tail events. The latter component predicts to a significant extent, and asymmetrically with respect to their sign, future market return variations."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-21T16:21:43.000Z"
    "docTitle" => "Dynamics of variance risk premia: A new model for disentangling the price of risk"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/rombouts-jeroen">ROMBOUTS Jeroen</a>, VIOLANTE Francesco, STENTOFT Lars"
    "docDescription" => "<span class="document-property-authors">ROMBOUTS Jeroen, VIOLANTE Francesco, STENTOFT Lars</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2020</span>"
    "keywordList" => "<a href="#">Variance risk premium</a>, <a href="#">Return predictability</a>, <a href="#">Sentiment indicators</a>"
    "docPreview" => "<b>Dynamics of variance risk premia: A new model for disentangling the price of risk</b><br><span>2020-08 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1016/j.jeconom.2019.12.006" target="_blank">Dynamics of variance risk premia: A new model for disentangling the price of risk</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.418919
  +"parent": null
}