Essec\Faculty\Model\Contribution {#2186
  #_index: "academ_contributions"
  #_id: "1369"
  #_source: array:26 [
    "id" => "1369"
    "slug" => "inferring-volatility-dynamics-and-risk-premia-from-the-sp500-and-vix-markets"
    "yearMonth" => "2019-03"
    "year" => "2019"
    "title" => "Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets"
    "description" => "BARDGETT, C., GOURIER, E. et LEIPPOLD, M. (2019). Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets. <i>Journal of Financial Economics</i>, 131(3), pp. 593-618."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "GOURIER Elise"
        "bid" => "B00751169"
        "slug" => "gourier-elise"
      ]
      1 => array:1 [
        "name" => "BARDGETT C."
      ]
      2 => array:1 [
        "name" => "LEIPPOLD M."
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:4 [
      0 => "S&P 500 and VIX joint modeling"
      1 => "Volatility dynamics"
      2 => "Particle filter"
      3 => "Variance risk premium"
    ]
    "updatedAt" => "2021-09-24 10:33:27"
    "publicationUrl" => "https://www.sciencedirect.com/science/article/abs/pii/S0304405X18302605"
    "publicationInfo" => array:3 [
      "pages" => "593-618"
      "volume" => "131"
      "number" => "3"
    ]
    "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" => "Nous estimons un modèle affine utilisant des données de rendements des indices S&P 500 et VIX ainsi que des options sur ces indices. Nous analysons la contribution des options sur le VIX à la performance du modèle."
      "en" => "We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index returns and option prices and analyze the contribution of VIX options to the model’s in- and out-of-sample performance. We find that they contain valuable information on the risk-neutral conditional distributions of volatility at different time horizons, which is not spanned by the S&P 500 market. This information allows enhanced estimation of the variance risk premium. We gain new insights on the term structure of the variance risk premium, present a trading strategy exploiting these insights, and show how to improve S&P 500 return forecasts."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-04-23T09:22:01.000Z"
    "docTitle" => "Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/gourier-elise">GOURIER Elise</a>, BARDGETT C., LEIPPOLD M."
    "docDescription" => "<span class="document-property-authors">GOURIER Elise, BARDGETT C., LEIPPOLD M.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2019</span>"
    "keywordList" => "<a href="#">S&P 500 and VIX joint modeling</a>, <a href="#">Volatility dynamics</a>, <a href="#">Particle filter</a>, <a href="#">Variance risk premium</a>"
    "docPreview" => "<b>Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets</b><br><span>2019-03 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://www.sciencedirect.com/science/article/abs/pii/S0304405X18302605" target="_blank">Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.276065
  +"parent": null
}