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Term Structure of Variance Risk Premium and Returns' Predictability
Language: en
Pages: 49
Authors: Giacomo Bormetti
Categories:
Type: BOOK - Published: 2016 - Publisher:

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We derive an analytic relation between equity risk premium and the term structure of variance risk premium (VRP). Motivated by this result, we estimate the VRP
The Variance Risk Premium
Language: en
Pages: 39
Authors: Junye Li
Categories:
Type: BOOK - Published: 2016 - Publisher:

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This paper examines the properties of the variance risk premium (VRP). We propose a flexible asset pricing model that captures co-jumps in prices and volatility
Risk Premia and the VIX Term Structure
Language: en
Pages: 50
Authors: Travis L. Johnson
Categories:
Type: BOOK - Published: 2018 - Publisher:

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The shape of the VIX term structure conveys information about the price of variance risk rather than expected changes in the VIX, a rejection of the expectation
Term Structure of Interest Rates with Short-Run and Long-Run Risks
Language: en
Pages: 74
Authors: Olesya V. Grishchenko
Categories:
Type: BOOK - Published: 2017 - Publisher:

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Interest rate variance risk premium (IRVRP), the difference between implied and realized variances of interest rates, emerges as a strong predictor of Treasury
Dynamic Asset Pricing Theory
Language: en
Pages: 488
Authors: Darrell Duffie
Categories: Business & Economics
Type: BOOK - Published: 2010-01-27 - Publisher: Princeton University Press

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This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and