English, Article, Journal or magazine article edition: Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia Valentina Corradi; Antonio Mele; Walter Distaso

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Bookmark: http://trove.nla.gov.au/version/44810
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia
Author
  • Valentina Corradi
  • Antonio Mele
  • Walter Distaso
Physical Description
  • preprint
Notes
  • This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of .uctuations in stock market volatility. We develop a model in which return volatility and volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate the model using data related to variance swaps, which are contracts with payo¤s indexed to nonparametric measures of realized volatility. We .nd that volatility risk-premia are strongly countercyclical, even more so than standard measures of return volatility.
  • RePEc:fmg:fmgdps:dp616
Language
  • English
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