Clemens Völkert

University of Münster - Finance Center Muenster

Universitätsstr. 14-16

Münster, 48143

Germany

  • University of Münster - Finance Center Muenster

SCHOLARLY PAPERS

6

DOWNLOADS

1,385

SSRN CITATIONS

1

CROSSREF CITATIONS

10

Scholarly Papers (6)

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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 Münster - Finance Center Muenster, University of Münster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 777 (52,000)
Citation 7

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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 Münster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 288 (169,808)
Citation 7

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long-run risks, variance premium, volatility derivatives

3.

High Order Smooth Ambiguity Preferences and Asset Prices

Downloads 185 (259,545)

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 Münster - Finance Center Muenster
Downloads 132 (344,248)

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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 Münster - Finance Center Muenster
Downloads 53 (607,140)

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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 Münster - Finance Center Muenster, University of Münster - Finance Center Muenster and University of Münster - Finance Center Muenster
Downloads 135 (337,419)
Citation 1

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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 Münster - 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 Münster - Finance Center Muenster

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ambiguity aversion, asset pricing, cross-section of returns