Risk premium effects on implied regressions

dc.contributor.author	Ρομπόλης, Λεωνίδας Σ.	el
dc.contributor.author	Τζαβαλής, Ηλίας	el
dc.date.accessioned	2015-02-01T20:06:50Z
dc.date.available	2015-02-01T20:06:50Z
dc.date.issued	2015-02-01
dc.identifier.uri	http://hdl.handle.net/11400/5375
dc.rights	Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ηνωμένες Πολιτείες	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/us/	*
dc.subject	Economics
dc.subject	Mathematics--Formulae
dc.subject	Volatility
dc.subject	Οικονομικά
dc.subject	Μαθηματικοί τύποι
dc.subject	Μεταβλητότητα
dc.subject	Επιπτώσεις κινδύνου
dc.subject	Risk effects
dc.title	Risk premium effects on implied regressions	en
heal.type	conferenceItem
heal.generalDescription	ISSN Σειράς Πρακτικών: 1791 – 8499	el
heal.generalDescription	Proceedings Series: 1791 - 8499	en
heal.classification	Administration
heal.classification	Business mathematics
heal.classification	Διοίκηση και οργάνωση
heal.classification	Μαθηματικά των επιχειρήσεων
heal.classificationURI	http://id.loc.gov/authorities/subjects/sh2002007910
heal.classificationURI	http://id.loc.gov/authorities/subjects/sh85018308
heal.classificationURI	N/A-Διοίκηση και οργάνωση
heal.classificationURI	N/A-Μαθηματικά των επιχειρήσεων
heal.keywordURI	http://id.loc.gov/authorities/subjects/sh85040850
heal.keywordURI	http://id.loc.gov/authorities/subjects/sh85082148
heal.keywordURI	http://zbw.eu/stw/descriptor/18679-3
heal.contributorName	Φράγκος, Χρήστος Κ. (1949-) (επιμ.)	el
heal.language	en
heal.access	campus
heal.recordProvider	Τεχνολογικό Εκπαιδευτικό Ίδρυμα Αθήνας. Σχολή Διοίκησης και Οικονομίας. Τμήμα Διοίκησης Επιχειρήσεων. Κατεύθυνση Διοίκησης Επιχειρήσεων.	el
heal.publicationDate	2009-05
heal.bibliographicCitation	Rompolis, L.S. and Tzavalis, E. (2009). Risk premium effects on implied regressions. In Proceedings of the 2nd International Conference: Quantitative and qualitative Methodologies in the Economic and Administrative Sciences. Athens, 25th to 27th May 2009. Athens: TEI of Athens. pp. 389-400.	en
heal.abstract	This article provides new insights into the sources of bias of option implied volatility to forecast its physical counterpart. We argue that this bias can be attributed to volatility risk premium effects. The latter are found to depend on high-order cumulants of the risk-neutral density. These cumulants capture the risk-averse behavior of investors in the stock and option markets for bearing the investment risk that is reflected in the deviations of the implied risk-neutral distribution from the normal distribution. We show that the bias of implied volatility to forecast its corresponding physical measure can be eliminated when the implied volatility regressions are adjusted for risk premium effects. The latter are captured mainly by the third-order risk- neutral cumulant. We also show that a substantial reduction of higher-order risk-neutral cumulants biases to predict their corresponding physical cumulants is supported when adjustments for risk premium effects are made.	en
heal.publisher	Τεχνολογικό Εκπαιδευτικό Ίδρυμα Αθήνας	el
heal.publisher	TEI of Athens	en
heal.fullTextAvailability	true
heal.conferenceName	2nd International Conference: Quantitative and Qualitative Methodologies in the Economic and Administrative Sciences	en
heal.conferenceItemType	full paper