Publications - Daniela Osterrieder https://econ.au.dk/da/research/researchcentres/creates/people/international-fellows/daniela-osterrieder?tx_pure_pure5%5Bcontroller%5D=Publications&cHash=a90d6812b44b95eb707d85d6bc31b7cb en-us PURE Extension typo3support@science.au.dk (Web Department) 30 <![CDATA[The VIX, the Variance Premium, and Expected Returns]]> https://econ.au.dk/da/research/researchcentres/creates/people/international-fellows/daniela-osterrieder?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=3e233308-2904-45a9-87fe-f1342f22bd41&tx_pure_pure5%5BshowType%5D=pub&cHash=04445cf869c66aaf29cc4ee1ee0cf6ba Osterrieder, D., Ventosa-Santaulària, D., Vera-Valdés, J. E. Existing studies find conflicting estimates of the risk-return relation. We show that the trade-off parameter is inconsistently estimated when observed or estimated conditional variances measure risk. The inconsistency arises from misspecified, unbalanced, and endogenous return regressions. These problems are eliminated if risk is captured by the variance premium (VP) instead; it is unobservable, however. We propose a 2SLS estimator that produces consistent estimates without observing the VP. Using this method, we find a positive risk-return trade-off and long-run return predictability. Our approach outperforms commonly used risk-return estimation methods, and reveals a significant link between the VP and economic uncertainty.

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Forskning Tue, 01 Jan 2019 14:16:16 +0100 3e233308-2904-45a9-87fe-f1342f22bd41
<![CDATA[The volatility of long-term bond returns]]> https://econ.au.dk/da/research/researchcentres/creates/people/international-fellows/daniela-osterrieder?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d51cd8dd-5554-45c0-b002-6bc8bce2e14b&tx_pure_pure5%5BshowType%5D=pub&cHash=29ebacb499782f3b6e420db2fe6dfe19 Osterrieder, D., Schotman, P. C. We develop an almost affine term-structure model with a closedform solution for factor loadings in which the spot rate and the risk price are fractionally integrated processes with different integration orders. This model is used to explain two stylized facts. First, predictability of longterm excess bond returns requires sufficient volatility and persistence in the risk price. Second, the large volatility of long-term bond returns requires persistence in the spot rate. Decomposing long-term bond returns, we find that the expectations component from the level factor is more volatile than returns themselves and that the risk premium correlates negatively with level-factor innovations.

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Forskning Fri, 01 Dec 2017 14:16:16 +0100 d51cd8dd-5554-45c0-b002-6bc8bce2e14b
<![CDATA[Risk and return: Long-run relations, fractional cointegration, and return predictability]]> https://econ.au.dk/da/research/researchcentres/creates/people/international-fellows/daniela-osterrieder?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=2395db73-34f3-4bac-b933-fe40a129614f&tx_pure_pure5%5BshowType%5D=pub&cHash=a5d511c0ef6e78c64465387fcf23cd28 Bollerslev, T., Osterrieder, D., Sizova, N., Tauchen, G. Forskning Tue, 01 Jan 2013 14:16:16 +0100 2395db73-34f3-4bac-b933-fe40a129614f