| Autor: |
Marwan Izzeldin, Zhenxiong Li, Xingzhi Yao |
| Jazyk: |
angličtina |
| Rok vydání: |
2020 |
| Předmět: |
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| DOI: |
10.1002/fut.22110 |
| Popis: |
This paper examines the fractional cointegration between downside (upside) components of realized and implied variances. A positive association is found between the strength of their cofractional relation and the return predictability of their differences. That association is established via the common long-memory component of the variances that are fractionally cointegrated, which represents the volatility-of-volatility factor that determines the variance premium. Our results indicate that market fears play a critical role not only in driving the long-run equilibrium relationship between implied-realized variances but also in understanding the return predictability. A simulation study further verifies these claims. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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