SSRN Author: Jiakou WangJiakou Wang SSRN Content
http://www.ssrn.com/author=1232136
http://www.ssrn.com/rss/en-usFri, 17 Jul 2015 12:27:55 GMTeditor@ssrn.com (Editor)Fri, 17 Jul 2015 12:27:55 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: A Non-Linear Dynamic Model of the Variance Risk PremiumWe propose a new class of non-linear diffusion processes for modeling financial markets data. Our non-linear diffusions are obtained as transformations of affine processes. We show that asset-pricing and estimation is possible and likelihood estimation is straightforward. We estimate a non-linear diffusion model for the VIX index under both the objective measure and the risk-neutral measure where the latter is obtained from futures prices. We find evidence of significant non-linearity under both measures. We define the difference between the P and Q drift as a measure of the variance risk premium and show that it has strong predictive power for stock returns.
http://www.ssrn.com/abstract=2047140
http://www.ssrn.com/1355577.htmlWed, 03 Dec 2014 08:00:35 GMTREVISION: A Non-Linear Dynamic Model of the Variance Risk PremiumWe propose a new class of non-linear diffusion processes for pricing and estimation of financial asset prices. Our non-linear diffusions are obtained as transformations of affine processes. We show that asset-pricing and estimation is possible and likelihood estimation is straightforward. We estimate a non-linear diffusion model for the VIX index under both the objective measure and the risk-neutral measure where the latter is obtained from futures prices. We find evidence of significant non-linearity under both measures. We define the difference between the P and Q drift as a measure of the variance risk premium and show that it has strong predictive power for stock returns.
http://www.ssrn.com/abstract=2047140
http://www.ssrn.com/1348419.htmlTue, 04 Nov 2014 07:49:15 GMT