The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets

Keyphrases

• Risk Premium 100%
• Tail Risk 100%
• Equity Indices 100%
• Options Markets 100%
• Left Tail 66%
• Tail Factor 66%
• Italy 33%
• Inequity 33%
• Time Variation 33%
• Risk Difference 33%
• Equity Returns 33%
• Spain 33%
• Great Recession 33%
• Systematic Deviations 33%
• Surface Dynamics 33%
• Expected Returns 33%
• Return Volatility 33%
• Index Returns 33%
• Implied Volatility 33%
• Perceived Exposure 33%
• Equity Index Options 33%
• Southern European 33%
• Affine Model 33%
• Sovereign Debt Crisis 33%
• Currency Area 33%
• Risk Pricing 33%
• European Debt Crisis 33%
• Euro Currency 33%
• Tail Index 33%
• Equity Risk 33%

Economics, Econometrics and Finance

• Risk Premium 100%
• Pricing 100%
• Debt Crisis 50%
• Volatility 25%
• Global Economic Crisis 25%
• Capital Market Returns 25%
• Returns Volatility 25%