Global variance term premia and intermediary risk appetite
Year of publication: |
2016
|
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Authors: | Van Tassel, Peter ; Vogt, Erik |
Publisher: |
New York, NY : Federal Reserve Bank of New York |
Subject: | variance swap | variance risk premium | term structure | empirical asset pricing | volatility | financial intermediaries |
Series: | Staff Report ; 789 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 866186492 [GVK] hdl:10419/146688 [Handle] RePEc:fip:fednsr:789 [RePEc] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; c58 |
Source: |
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