implied volatility master thesis

explained by common explanations offered in literature, downside risk, volatility risk or factor exposures only partially explain the excess returns. Search: We study the volatility risk premium, where the implied volatility exceeds the realized volatility, in multiple asset classes and countries simultaneously. Erasmus University Thesis Repository, erasmus School of Economics parrot essay in kannada econometrie master Thesis. By studying the returns in the cross section we gain deeper insights about the consistency, commonality and patterns in the characteristics and risks of the volatility risk premium compared to individual asset studies. We explore the robustness of the strategy and find that the premium can be further enhanced by considering alternative hedging and weighting schemes. Combining the asset class portfolios in a diversified global volatility risk premium factor results in a Sharpe ratio.45.

We do find a strong common risk component that the asset class portfolios tend to suffer drawdowns during recessions when volatility rises across all asset classes. In the first paper, we construct implied volatility indices for all stocks in the Dow Jones Industrial Average Index, and study. We study the volatility risk premium, where the implied volatility exceeds the realized volatility, in multiple asset classes and countries.

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implied volatility master thesis

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