Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk

Autor:	Mathieu Fournier, Kris Jacobs, Mehdi Karoui, Peter Christoffersen
Rok vydání:	2020
Předmět:	Variance risk premium Kurtosis risk Economics and Econometrics 050208 finance Index (economics) Risk premium 05 social sciences Skewness risk Coskewness Skewness Accounting Cokurtosis 0502 economics and business Econometrics Economics 050207 economics Finance
Zdroj:	Journal of Financial and Quantitative Analysis. 56:65-91
ISSN:	1756-6916 0022-1090
Popis:	We show that the prices of risk for factors that are nonlinear in the market return can be obtained using index option prices. The price of coskewness risk corresponds to the market variance risk premium, and the price of cokurtosis risk corresponds to the market skewness risk premium. Option-based estimates of the prices of risk lead to reasonable values of the associated risk premia. An analysis of factor models with coskewness risk indicates that the new estimates of the price of risk improve the models’ performance compared with regression-based estimates.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::c7d25cebbeca636f6be7fdb5528ecab0 https://doi.org/10.1017/s002210902000023x Zobrazit plný text záznamu