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DTSTART;TZID=Europe/Helsinki:20240307T110000
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SUMMARY:Jeroen ROMBOUTS (ESSEC) - "Modeling Higher Moments and Risk Premiums for S&P 500 Returns"
DESCRIPTION:Finance & Financial Econometrics : \nTime: 11.00 am\nDate: 07th of March 2023\nRoom 31001 \nJeroen ROMBOUTS (ESSEC) – “Modeling Higher Moments and Risk Premiums for S&P 500 Returns” \nAbstract : Using joint estimation on a large sample of index option prices and the underlying returns\, we study how multifactor models capture time-series and cross-sectional patterns in option prices through improved modeling of the dynamics of the first four moments of the return distribution. Including a second and especially a third stochastic volatility factor greatly improves option fit\, and the resulting time series of skewness and kurtosis better match non-parametric benchmarks. The third volatility factor is critical in generating larger and more variable skewness and kurtosis risk premiums. Return jumps provide more modest improvements in option fit and a higher equity risk premium\, but their impact on higher moment risk premiums is small. All models we investigate struggle to match the unconditional term structure of risk-neutral skewness and kurtosis. \nOrganizers:\n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://econ.ip-paris.fr/event/jeroen-rombouts-essec-modeling-higher-moments-and-risk-premiums-for-sp-500-returns/
CATEGORIES:Finance,Financial Econometrics,Seminars
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