Essec\Faculty\Model\Contribution {#2233 ▼
#_index: "academ_contributions"
#_id: "1369"
#_source: array:26 [
"id" => "1369"
"slug" => "1369-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. 
BARDGETT, C., GOURIER, E. et LEIPPOLD, M. (2019). Inferring volatility dynamics and risk-premia from "
"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. Nous estimons un modèle affine utilisant des données de rendements des indices S&P 500 et VIX ainsi "
"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. We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index retur "
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2025-03-17T01:21:40.000Z"
"docTitle" => "Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets"
"docSurtitle" => "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> <span class="document-property-authors">GOURIER Elise, BARDGETT C., LEIPPOLD M.</span><br><span clas "
"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> <a href="#">S&P 500 and VIX joint modeling</a>, <a href="#">Volatility dynamics</a>, <a href="#">Par "
"docPreview" => "<b>Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets</b><br><span>2019-03 | Articles </span> <b>Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets</b><br><span>2019-0 "
"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> <a href="https://www.sciencedirect.com/science/article/abs/pii/S0304405X18302605" target="_blank">In "
]
+lang: "fr"
+"_type": "_doc"
+"_score": 8.962135
+"parent": null
}
