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A Forward-Looking Index of Market Variance

https://doi.org/10.2139/ssrn.5197800

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Information content of volatility spreads

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Generalized autoregressive conditional heteroskedasticity

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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets

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The VIX, the variance premium and stock market volatility

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The conditional expected market return

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Spanning and derivative-security valuation

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Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

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By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

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The Pricing of Options and Corporate Liabilities

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What is the Expected Return on the Market?*

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Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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The Model-Free Implied Volatility and Its Information Content

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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-snapshot

Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

inferredcites →https://doi.org/10.1093/rfs/hhn038openalex-snapshot

Variance Risk Premiums

inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-snapshot

Expected Stock Returns and Variance Risk Premia

inferredcites →https://doi.org/10.1093/rfs/hhz075openalex-snapshot

A Bound on Expected Stock Returns

inferredcites →https://doi.org/10.1111/0022-1082.00228openalex-snapshot

Option Prices, Implied Price Processes, and Stochastic Volatility

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Conditional Skewness in Asset Pricing Tests

inferredcites →https://doi.org/10.1111/1467-9868.00336openalex-snapshot

Econometric analysis of realised volatility and its use in estimating stochastic volatility models

inferredcites →https://doi.org/10.1111/1468-0262.00418openalex-snapshot

Modeling and Forecasting Realized Volatility

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Mispriced index option portfolios

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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*

inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01795.xopenalex-snapshot

Ex Ante Skewness and Expected Stock Returns

inferredcites →https://doi.org/10.1111/jofi.12544openalex-snapshot

Why Does Return Predictability Concentrate in Bad Times?

inferredcites →https://doi.org/10.1111/jofi.12778openalex-snapshot

What Is the Expected Return on a Stock?

inferredcites →https://doi.org/10.1162/qjec.121.3.823openalex-snapshot

Rare Disasters and Asset Markets in the Twentieth Century*

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Comparing Predictive Accuracy

inferredcites →https://doi.org/10.1257/aer.20180019openalex-snapshot

The Quanto Theory of Exchange Rates

inferredcites →https://doi.org/10.1257/aer.20200505openalex-snapshot

Sentiment and Speculation in a Market with Heterogeneous Beliefs

inferredcites →https://doi.org/10.1287/mnsc.1060.0579openalex-snapshot

A Theory of Volatility Spreads

inferredcites →https://doi.org/10.1287/mnsc.2015.2379openalex-snapshot

What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?

inferredcites →https://doi.org/10.1287/mnsc.2022.4367openalex-snapshot

Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks

inferredcites →https://doi.org/10.17016/feds.2011.52openalex-snapshot

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

inferredcites →https://doi.org/10.17605/osf.io/7xcqwopenalex-snapshot

Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks

inferredcites →https://doi.org/10.2139/ssrn.1148738openalex-snapshot

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

inferredcites →https://doi.org/10.2139/ssrn.2252209openalex-snapshot

The VIX, the Variance Premium and Stock Market Volatility

inferredcites →https://doi.org/10.2139/ssrn.267792openalex-snapshot

Modeling and Forecasting Realized Volatility

inferredcites →https://doi.org/10.2139/ssrn.282451openalex-snapshot

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

inferredcites →https://doi.org/10.2307/1912773openalex-snapshot

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

inferredcites →https://doi.org/10.2307/1913811openalex-snapshot

An Intertemporal Capital Asset Pricing Model

inferredcites →https://doi.org/10.3386/w4995openalex-snapshot

By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior

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