Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility

被引：20

作者：

Dufour, Jean-Marie ^{[1
]}

Garcia, Rene

Taamouti, Abderrahim ^{[2
]}

机构：

[1] McGill Univ, CIREQ, Ctr Interuniv Rech Anal Org CIRANO, Montreal, PQ H3A 2T7, Canada

[2] Univ Carlos III Madrid, E-28903 Getafe, Spain

来源：

JOURNAL OF FINANCIAL ECONOMETRICS | 2012年 / 10卷 / 01期

关键词：

causality measure; implied volatility; leverage effect; realized volatility; variance risk premium; STOCK-MARKET VOLATILITY; LONG-RUN CAUSALITY; STOCHASTIC VOLATILITY; CONDITIONAL HETEROSKEDASTICITY; ASYMMETRIC VOLATILITY; INFORMATION-CONTENT; TIME-SERIES; MODEL; NEWS; PRICES;

D O I：

10.1093/jjfinec/nbr007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage ef fect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility and find that implied volatilities are essential for assessing the volatility feedback effect. We also study the impact of news on returns and volatility. We introduce a concept of news based on the difference between implied and realized volatilities (the variance risk premium) and find that a positive variance risk premium has more impact on returns than a negative variance risk premium.

引用

页码：124 / 163

页数：40

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