Risk premia and the VIX term structure
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
|
Subject: | VIX | variance risk | term structure | expectations hypothesis | variance swaps | VIX futures | straddles | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Volatilität | Volatility | Schätzung | Estimation | Swap | Börsenkurs | Share price |
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