Volatility risk premium in the interest rate market: Evidence from delta-hedged gains on USD interest rate swaps

Cited 2 time in webofscience Cited 0 time in scopus
  • Hit : 567
  • Download : 0
DC FieldValueLanguage
dc.contributor.authorByun, Suk Joonko
dc.contributor.authorChang, Ki Cheonko
dc.date.accessioned2015-11-20T07:29:35Z-
dc.date.available2015-11-20T07:29:35Z-
dc.date.created2015-08-03-
dc.date.created2015-08-03-
dc.date.issued2015-07-
dc.identifier.citationINTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, v.40, pp.88 - 102-
dc.identifier.issn1057-5219-
dc.identifier.urihttp://hdl.handle.net/10203/200700-
dc.description.abstractThis study examines whether the interest rate market compensates for volatility risk. It demonstrates that the delta-hedged gain (DHG) method introduced by Balcshi and Kapadia (2003) shows the existence and sign of DHG in the interest rate swap markets where they use measures different from what Bakshi and Kapadia assumed. This finding is applied to the USD interest rate swap and swaption market. The result shows that, over the short term, there is negative compensation for volatility risk premiums, aldn to the equity or currency markets. Over the long term, the signs of compensation change and regression tests show the possibility that the volatility risk premium in the interest rate market can be different from those in other asset markets. However, this interpretation entails an overlapping data problem that is not easy to overcome especially for the long term DHG data. The difference in interest rate market may be due to the fact that the interest rate swap market is different from the equity or currency markets in that it is more driven by financial institutions and option traders than by individuals or directional traders.-
dc.languageEnglish-
dc.publisherELSEVIER SCIENCE INC-
dc.subjectSTOCHASTIC VOLATILITY-
dc.subjectMODEL-
dc.titleVolatility risk premium in the interest rate market: Evidence from delta-hedged gains on USD interest rate swaps-
dc.typeArticle-
dc.identifier.wosid000357546700008-
dc.identifier.scopusid2-s2.0-84955195081-
dc.type.rimsART-
dc.citation.volume40-
dc.citation.beginningpage88-
dc.citation.endingpage102-
dc.citation.publicationnameINTERNATIONAL REVIEW OF FINANCIAL ANALYSIS-
dc.identifier.doi10.1016/j.irfa.2015.03.018-
dc.contributor.localauthorByun, Suk Joon-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorVolatility risk premium-
dc.subject.keywordAuthorInterest rate swap-
dc.subject.keywordAuthorDelta-hedged gain-
dc.subject.keywordPlusSTOCHASTIC VOLATILITY-
dc.subject.keywordPlusMODEL-
Appears in Collection
MT-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.
This item is cited by other documents in WoS
⊙ Detail Information in WoSⓡ Click to see webofscience_button
⊙ Cited 2 items in WoS Click to see citing articles in records_button

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0