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Small caps in international equity portfolios : the effects of variance risk

Guidolin, Massimo (contributor); … - 2007 - Rev.

Persistent link: https://www.econbiz.de/10003739548

Ranking multivariate GARCH models by problem dimension

Caporin, Massimiliano; McAleer, Michael - 2010 - Rev.

Persistent link: https://www.econbiz.de/10008689067

Mr. Wicksell and the global economy : what drives real interest rates?

Brzoza-Brzezina, Michał; Crespo Cuaresma, Jesús - 2008

Persistent link: https://www.econbiz.de/10003676401

Ranking multivariate GARCH models by problem dimension : an empirical evaluation

Caporin, Massimiliano; McAleer, Michael - 2011

Persistent link: https://www.econbiz.de/10009412785

How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - 2014

We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather than synthetic S&P 500 variance swap quotes, thus avoiding...

Persistent link: https://www.econbiz.de/10010472838