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Bank of Canada RSS Feedsen2024-03-28T17:03:50+00:00The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
https://www.bankofcanada.ca/2009/06/working-paper-2009-20/
We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness.2009-06-12T15:23:44+00:00enThe Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness2009-06-12Financial marketsWorking Paper 2009-20 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-20.pdfThe Equity Premium and the Volatility Spread: The Role of Risk-Neutral SkewnessBruno FeunouJean-Sébastien FontaineRoméo TedongapJune 2009GG1G12G13