Clemens Völkert

University of Muenster - Finance Center Muenster

Universitätsstr. 14-16

Münster, 48143

Germany

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 36,242

SSRN RANKINGS

Top 36,242

in Total Papers Downloads

898

CITATIONS

2

Scholarly Papers (5)

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 438 (37,675)

Abstract:

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 178 (113,462)
Citation 2

Abstract:

long-run risks, variance premium, volatility derivatives

High Order Smooth Ambiguity Preferences and Asset Prices

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 41 Posted: 25 Jan 2012 Last Revised: 21 Feb 2013
Julian Thimme and Clemens Völkert
Goethe University Frankfurt - House of Finance and University of Muenster - Finance Center Muenster
Downloads 102 (210,214)

Abstract:

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: 02 Nov 2012
Julian Thimme and Clemens Völkert
Goethe University Frankfurt - House of Finance and University of Muenster - Finance Center Muenster
Downloads 31 (383,466)

Abstract:

Ambiguity aversion, asset pricing, long-run risks

4.

The Distribution of Uncertainty: Evidence from the VIX Options Market

Journal of Futures Markets, Forthcoming
Posted: 01 Feb 2013 Last Revised: 26 Feb 2014
Clemens Völkert
University of Muenster - Finance Center Muenster

Abstract:

pricing kernel, risk-neutral distribution, VIX options

5.

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

Journal of Business and Economic Statistics, Forthcoming
Posted: 31 Jan 2013 Last Revised: 11 Nov 2014
Julian Thimme and Clemens Völkert
Goethe University Frankfurt - House of Finance and University of Muenster - Finance Center Muenster

Abstract:

ambiguity aversion, asset pricing, cross-section of returns