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Empirical Asset Pricing With Equity Tail Risk, Jingrui Li
Empirical Asset Pricing With Equity Tail Risk, Jingrui Li
Graduate Theses, Dissertations, and Problem Reports
This dissertation comprises three separate chapters on both risk-neutral and physical probability spaced equity tail risk for both the market index and in the cross-section of individual stocks.
The first chapter is titled “Does VIX Truly Measure Return Volatility?” This chapter studies the bias of the VIX index as a volatility measure. Particularly, VIX undervalues (overvalues) volatility when market return is expected to be negatively (positively) skewed. Alternatively, we develop a model-free generalized volatility index (GVIX). This chapter further derives the risk-neutral tail risk estimated from the VIX index.
The second chapter is titled “Decomposing the VIX: Implications for the …