Macroeconomic determinants of stock market volatility and volatility risk-premia
Corradi, Valentina, Distaso, Walter and Mele, Antonio (2008) Macroeconomic determinants of stock market volatility and volatility risk-premia. In: 2008 North American Summer Meeting of the Econometric Society, Pittsburgh, PA, 19-22 Jun 2008 (Unpublished)Full text not available from this repository.
Official URL: https://editorialexpress.com/cgi-bin/conference/do...
This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility is stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate the model using data related to variance swaps, which are contracts with payoffs indexed to nonparametric measures of realized volatility. We find that volatility risk-premia are strongly countercyclical and that in turn, they are of substantial help in predicting future economic activity.
|Item Type:||Conference Item (Paper)|
|Subjects:||H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
|Divisions:||Faculty of Social Sciences > Economics|
|Official Date:||20 June 2008|
|Status:||Not Peer Reviewed|
|Conference Paper Type:||Paper|
|Title of Event:||2008 North American Summer Meeting of the Econometric Society|
|Type of Event:||Conference|
|Location of Event:||Pittsburgh, PA|
|Date(s) of Event:||19-22 Jun 2008|
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