Risk premia and the VIX term structure
Travis L. Johnson
| Year of publication: |
December 2017
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|---|---|
| Authors: | Johnson, Travis L. |
| Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 52.2017, 6, p. 2461-2490
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| Subject: | VIX | variance risk | term structure | expectations hypothesis | variance swaps | VIX futures | straddles | Volatilität | Volatility | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Risiko | Risk | Swap | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S0022109017000825 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011929346