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Uncovering a positive risk-return relation: The role of implied volatility index

Kanas, Angelos (2014) Uncovering a positive risk-return relation: The role of implied volatility index. Review of Quantitative Finance and Accounting, 42 (1). pp. 159-170. ISSN 0924-865X. (doi:10.1007/s11156-012-0317-9) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1007/s11156-012-0317-9

Abstract

We report empirical evidence suggesting a strong and positive risk-return relation for the daily S&P 100 market index if the implied volatility index is included as an exogenous variable in the conditional variance equation. This result holds for alternative GARCH specifications and conditional distributions. Monte Carlo evidence suggests that if implied volatility is not included, whilst is should be, the risk-return relation is more likely to be negative or weak. © 2012 Springer Science+Business Media, LLC.

Item Type: Article
DOI/Identification number: 10.1007/s11156-012-0317-9
Additional information: Unmapped bibliographic data: AD - Department of Economics, University of Piraeus, 80 Karaoli and Demetriou Str., 18534 Piraeus, Greece [Field not mapped to EPrints] JA - Rev. Quant. Financ. Account. [Field not mapped to EPrints]
Uncontrolled keywords: GARCH-M, Implied volatility index, Risk-return relation, S&P 100
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 10:56 UTC
Last Modified: 29 May 2019 12:36 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41122 (The current URI for this page, for reference purposes)
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