Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/120788 
Autor:innen: 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Staff Report No. 706
Verlag: 
Federal Reserve Bank of New York, New York, NY
Zusammenfassung: 
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator around the risk-neutral valuation equation, the framework theoretically justifies (fat-tailed) extrapolations beyond truncated strikes and between observed maturities while remaining nonparametric. New confidence intervals quantify the term structure estimation error. The framework is applied to estimating the term structure of the variance risk premium and finds that a short-run component dominates market excess return predictability.
Schlagwörter: 
equity risk premium
finance
options
predictability
sieve M estimation
state-price density
term structures
variance risk premium
VIX
JEL: 
C12
C14
C58
G12
G13
G17
Dokumentart: 
Working Paper

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