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dc.creatorBranger, Nicole
dc.creatorRodrigues, Paulo
dc.creatorSchlag, Christian
dc.date.accessioned2021-09-28T09:31:42Z
dc.date.available2021-09-28T09:31:42Z
dc.date.issued2017-10-16
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2288
dc.description.abstractWe propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine in the conditional variance but driven by a separate process. We show that this separation of jump risk from volatility risk is needed to match the empirically weak link between the level and the slope of the implied volatility smile for S&P 500 options.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectFinancial Markets
dc.subjectSystemic Risk Lab
dc.titleLevel and Slope of Volatility Smiles in Long-Run Risk Models
dc.typeWorking Paper
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1350?BEA NIPA
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1379?CRSP
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1420?FRED
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1363?CBOE
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1478?OptionMetrics
dc.source.filename186_SSRN-id3064658
dc.identifier.safeno186
dc.subject.keywordsasset pricing
dc.subject.keywordsepstein-zin preferences
dc.subject.keywordsjump risk
dc.subject.keywordsstochastic volatility
dc.subject.keywordslevel and slope of implied volatility smile
dc.subject.jelG12
dc.subject.topic1kaltenbrunner
dc.subject.topic1discuss
dc.subject.topic1quantity
dc.subject.topic2computation
dc.subject.topic2juillard
dc.subject.topic2compute
dc.subject.topic3level
dc.subject.topic3keyword
dc.subject.topic3process
dc.subject.topic1nameMacro Finance
dc.subject.topic2nameSaving and Borrowing
dc.subject.topic3nameConsumption
dc.identifier.doi10.2139/ssrn.3064658


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