Downside Variance Risk Premium
Year of publication: |
2015-03-17
|
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Authors: | Feunou, Bruno ; Jahan-Parvar, Mohammad ; Okou, Cedric |
Institutions: | Federal Reserve Board (Board of Governors of the Federal Reserve System) |
Subject: | Downside variance risk premium | realized volatility | risk-neutral volatility | skewness risk premium | upside variance risk premium |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Finance and Economics Discussion Series Number 2015-20 66 pages |
Other identifiers: | 10.17016/FEDS.2015.020 [DOI] |
Classification: | G12 - Asset Pricing |
Source: |
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