Risk-Neutral – BSIC | Bocconi Students Investment Club

An Estimation of the Risk Premium as Function of the VIX

Download as PDF Introduction The expected excess market return, or equity risk premium, is an unobservable element crucial in many financial applications ranging from corporate finance to asset pricing. Over the years, many researchers have studied the expected market return by tackling the estimation from different perspectives leading Welch, Goyal Read more…

By BSIC, 5 years10 May 2020 ago

When Sigma Speaks Loudly, Do Higher Moments Speak Louder? – Part 1

Introduction In this article, together with a brief introduction to the use of option-implied information in forecasting, we would like to give an answer to the question: does Option-Implied Skewness and Kurtosis improve the predictive power of (Squared) Implied Volatilities on Future Realised Variance? In order to do so, we Read more…

By BSIC, 5 years16 February 2020 ago