Clemens Völkert

University of Muenster - Finance Center Muenster

Universitätsstr. 14-16

Münster, 48143

Germany

SCHOLARLY PAPERS

6

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CITATIONS
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9

Scholarly Papers (6)

1.

The Fine Structure of Variance: Pricing VIX Derivatives in Consistent and Log-VIX Models

Number of pages: 63 Posted: 25 Mar 2012 Last Revised: 18 Aug 2016
Nicole Branger, Alexander Kraftschik and Clemens Völkert
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 667 (37,815)
Citation 6

Abstract:

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Consistent pricing of VIX derivatives, Log-VIX model, volatility derivatives, VIX

2.

What is the Equilibrium Price of Variance Risk? A Long-Run Risks Model with Two Volatility Factors

Number of pages: 48 Posted: 01 Feb 2012 Last Revised: 21 Feb 2013
Nicole Branger and Clemens Völkert
University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 253 (120,013)
Citation 4

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long-run risks, variance premium, volatility derivatives

High Order Smooth Ambiguity Preferences and Asset Prices

Review of Financial Economics, Vol. 27, 2015
Number of pages: 41 Posted: 25 Jan 2012 Last Revised: 26 Nov 2017
Julian Thimme and Clemens Völkert
Karlsruhe Institute of Technology and University of Muenster - Finance Center Muenster
Downloads 106 (254,657)

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Ambiguity aversion, asset pricing, long-run risks

High Order Smooth Ambiguity Preferences and Asset Prices

Number of pages: 41 Posted: 15 Mar 2012 Last Revised: 23 Nov 2017
Julian Thimme and Clemens Völkert
Karlsruhe Institute of Technology and University of Muenster - Finance Center Muenster
Downloads 34 (457,183)

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Ambiguity aversion, asset pricing, long-run risks

4.

The Variance Process Implied in VIX Options: Affine vs. Non-Affine Models

Number of pages: 41 Posted: 17 Nov 2017
Nicole Branger, Alexander Kraftschik and Clemens Völkert
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 61 (351,654)

Abstract:

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Jump-diffusion model, volatility derivatives, VIX options, non-affine diffusion

5.

The Distribution of Uncertainty: Evidence from the VIX Options Market

Journal of Futures Markets, 35 (7), 597-624, 2015
Posted: 01 Feb 2013 Last Revised: 27 Nov 2017
Clemens Völkert
University of Muenster - Finance Center Muenster

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pricing kernel, risk-neutral distribution, VIX options

6.

Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment

Journal of Business and Economic Statistics 33 (3), 418-429, 2015
Posted: 31 Jan 2013 Last Revised: 24 Nov 2017
Julian Thimme and Clemens Völkert
Karlsruhe Institute of Technology and University of Muenster - Finance Center Muenster

Abstract:

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ambiguity aversion, asset pricing, cross-section of returns