NUS Quantitative Finance Joint Seminar Series (Webinar)
NUS Quantitative Finance Joint Seminar Series (Webinar)
This webinar is jointly organised by Risk Management Institute and Centre for Quantitative Finance
Programme
Title: Expected and Realized Returns on Volatility
Prof. Kris Jacobs (University of Houston)
Abstract: Expected returns on market volatility, which can be obtained from VIX futures in closed form using standard models, predict subsequent multiperiod realized volatility returns. Multiperiod realized volatility returns are more negative following increases in volatility. Expected volatility returns are always negative. They also become more negative when volatility increases because of di erences in mean reversion between the VIX and the risk-neutral VIX. Expected volatility returns negatively predict index returns, because realized volatility returns are negatively correlated with index returns. The results are robust to a wide range of variations in the empirical setup and the inclusion of existing predictors.
About the Speaker
Prof. Kris Jacobs is the Bauer Chair in Finance at the Bauer College of Business, University of Houston. His research focuses on empirical asset pricing, investments and derivative securities, and he teaches courses in Investments, Capital Markets and Portfolio Management at the Ph.D. and Master’s levels. He obtained his Ph.D. from the University of Pittsburgh and his Master’s and undergraduate degrees from the Katholieke Universiteit Leuven in his native Belgium. He has previously held appointments at McGill University and Tilburg University (visiting). He has published over 40 papers in leading journals of finance. His papers on option pricing and credit risk are among the widely cited papers. He is also currently an associate editor at the Journal of Banking and Finance and at the Journal of Empirical Finance.
For more information on all our workshops & seminars, please visit Risk Management Institute website.
For enquiries, please contact Sinta Yowendra at sintayo@nus.edu.sg
Copyright 2006-2021 © NUS Risk Management Institute