EconPapers    
Economics at your fingertips  
 

Jump and variance risk premia in the S&P 500

Maximilian Neumann, Marcel Prokopczuk () and Chardin Wese Simen

Journal of Banking & Finance, 2016, vol. 69, issue C, 72-83

Abstract: We analyze the risk premia embedded in the S&P 500 spot index and option markets. We use a long time-series of spot prices and a large panel of option prices to jointly estimate the diffusive stock risk premium, the price jump risk premium, the diffusive variance risk premium and the variance jump risk premium. The risk premia are statistically and economically significant and move over time. Investigating the economic drivers of the risk premia, we are able to explain up to 63% of these variations.

Keywords: Equity risk premium; Jump risk premium; Variance risk premium; S&P 500; Options; Markov Chain Monte Carlo (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426616300188
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:69:y:2016:i:c:p:72-83

DOI: 10.1016/j.jbankfin.2016.03.013

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-10-18
Handle: RePEc:eee:jbfina:v:69:y:2016:i:c:p:72-83