EVI-Emerging Asia - EDHEC-Risk

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Interpretations of CSV • If we assume that a single factor model holds for stock returns, • We also make the assumptions (to be relaxed later) that – All betas are the same, it = t for all i – The residual variances are the same, • Then we can show that for any regular weighting scheme,
Interpretations of CSV • Among all possible weighting schemes, the equally weighted one has a special place. • The equally weighted CSV has the smallest variance and the small sample bias can be easily calculated. • If we relax the homogeneous residual variance assumption, we obtain that the cross-sectional variance converges to a weighted average of the residual variances,
Page 1 and 2: EDHEC-Risk Days Europe 2012 May 10,
Page 3 and 4: Outline • Volatility Indicators -
Page 5 and 6: Introduction • Information about
Page 7 and 8: Volatility Indices • Since inform
Page 9 and 10: Problems with Option-Implied Volati
Page 11 and 12: Introducing a New Volatility Index
Page 13 and 14: 1 Day Before Fukushima • The cros
Page 15 and 16: Cross-Sectional Volatility • We p
Page 17: • Volatility Indicators - Backgro
Page 21 and 22: • Volatility Indicators - Backgro
Page 23 and 24: Methodology: Liquidity • Lack of
Page 25 and 26: Value-Added of Robustness 1.4 1.2 1
Page 27 and 28: Introducing EVI • The methodology
Page 29 and 30: • Volatility Indicators - Backgro
Page 31 and 32: Pan-Asian Volatility Indicators 1 0
Page 33 and 34: EVI-Developed Asia ex Japan vs VKOS
Page 35 and 36: Correlations between Asian Option-
Page 37 and 38: 1 0.8 0.6 0.4 0.2 0 -0.2 -0.4 -0.6
Page 39 and 40: Conclusions • We introduce a new

EVI-Emerging Asia - EDHEC-Risk

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