Tails, Fears, and Risk Premia

被引:340
作者
Bollerslev, Tim [1 ]
Todorov, Viktor [2 ]
机构
[1] Duke Univ, Durham, NC 27706 USA
[2] Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA
基金
美国国家科学基金会;
关键词
STOCHASTIC VOLATILITY; STOCK; JUMPS; PRICE; IMPLICIT; MODELS; CONSUMPTION; RETURNS; MARKETS; OPTIONS;
D O I
10.1111/j.1540-6261.2011.01695.x
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of the jump tails and the pricing thereof, we identify and estimate a new Investor Fears index. The index reveals large time-varying compensation for fears of disasters. Our empirical investigations involve new extreme value theory approximations and high-frequency intraday data for estimating the expected jump tails under the statistical probability measure, and short maturity out-of-the-money options and new model-free implied variation measures for estimating the corresponding risk-neutral expectations.
引用
收藏
页码:2165 / 2211
页数:47
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