Concepedia

Volatility Risk Pricing

Volatility Risk Pricing is a theoretical framework within asset pricing theory that specifies how the market compensates investors for exposure to fluctuations in return volatility, distinguishing itself from other risk pricing models by focusing on the premium associated with stochastic changes in volatility rather than return variance alone.

161

Publications

17.5K

Citations

253

Authors

227

Institutions

Publications per year

2017–2026

33

Parents

Publications

161

The Cross‐Section of Volatility and Expected Returns

Andrew Ang, Robert J. Hodrick, Yuhang Xing et al. · The Journal of Finance · 2006 · 4.8K citations

, , +17

Variance Risk Premiums

Peter Carr, Liuren Wu · Review of Financial Studies · 2008 · 1.4K citations

, , +15

Volatility‐Managed Portfolios

Alan Moreira, Tyler Muir · The Journal of Finance · 2017 · 536 citations · Full text

, , +17

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

Tim Bollerslev, Michael S. Gibson, Hao Zhou · Journal of Econometrics · 2010 · 500 citations · Full text

, , +17

A Guide to Volatility and Variance Swaps

Krešimir Demeterfi, Emanuel Derman, Michael Kamal et al. · The Journal of Derivatives · 1999 · 474 citations

, , +17

1–5 of 161

Authors

253

  1. LW
    Liuren Wu

    Baruch College, United States

    9 publications · 2.2K citations

    9

    h-index

  2. PC
    Peter Carr

    New York University, United States

    7 publications · 2.2K citations

    7

    h-index

  3. JD
    José Da Fonseca

    Auckland University of Technology, New Zealand

    5 publications · 178 citations

    5

    h-index

  4. AB
    Alexander Barinov

    University of California, Riverside, United States

    5 publications · 133 citations

    5

    h-index

  5. SG
    Stefano Giglio

    Yale University, United States

    5 publications · 621 citations

    5

    h-index

1–5 of 253

Institutions

227

  1. National Bureau of Economic Research

    Cambridge, United States

    13 h-index

    23 publications

    2.2K citations

  2. Baruch College

    New York, United States

    10 h-index

    11 publications

    2.8K citations

  3. New York University

    New York, United States

    9 h-index

    10 publications

    2.5K citations

  4. Duke University

    Durham, United States

    8 h-index

    11 publications

    1.4K citations

  5. Princeton University

    Princeton, United States

    7 h-index

    8 publications

    1.3K citations

  6. Auckland University of Technology

    Auckland, New Zealand

    7 h-index

    9 publications

    1K citations

  7. Federal Reserve Board of Governors

    Washington D.C., United States

    7 h-index

    12 publications

    1.5K citations

  8. Federal Reserve

    Washington D.C., United States

    6 h-index

    8 publications

    1.4K citations

1–8 of 227

Venues

  1. SSRN Electronic Journal

    Repository · 47 publications · 1.7K citations

    23

    h-index

  2. The Journal of Finance

    11 publications · 7.6K citations

    11

    h-index

  3. Journal of Futures Markets

    7 publications · 186 citations

    7

    h-index

  4. Journal of Banking & Finance

    6 publications · 597 citations

    6

    h-index

  5. Journal of Financial and Quantitative Analysis

    JFQA · 5 publications · 352 citations

    5

    h-index

1–5