Nieto, Belén; Novales, Alfonso; Rubio, Gonzalo - In: The Quarterly Review of Economics and Finance 54 (2014) 2, pp. 257-270
This paper studies the determinants of the variance risk premium and discusses the hedging possibilities offered by variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the distribution of market returns. But the uncertainty that...
