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Abstract We propose a new decomposition of the variance risk premium (VRP) in terms of upside and downside VRPs. These components reflect market compensation for changes in good and bad uncertainties. Empirically, we establish that the downside VRP is the main component of the VRP. We find a...
Abstract Motivated by testing the significance of risk factors for a cross-section of returns, we develop an inferential framework which involves function-on-scalar regression. Asymptotic theory is developed assuming the factors form a weakly dependent vector-valued time series, and the...
Abstract We study a generalized hyperbolic (GH) time-changed Lévy process for option pricing and examine six three-parameter special cases: the variance gamma (VG) model of Madan, Carr, and Chang (1998), t, hyperbolic (H), normal inverse Gaussian (NIG), reciprocal hyperbolic (RH), and normal...
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