How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns
Year of publication: |
2014
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Authors: | Konstantinidi, Eirini ; Skiadopoulos, George |
Publisher: |
London : Queen Mary University of London, School of Economics and Finance |
Subject: | Economic conditions | Predictability | Trading activity | Variance swaps | Variance risk premium | Volatility trading |
Series: | Working Paper ; 732 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 817158324 [GVK] hdl:10419/122064 [Handle] RePEc:qmw:qmwecw:wp732 [RePEc] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; G17 - Financial Forecasting |
Source: |
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Konstantinidi, Eirini, (2014)
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Konstantinidi, Eirini, (2014)
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Konstantinidi, Eirini, (2014)
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