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We measure the skew risk premium in the equity index market through the skew swap. We argue that just as variance swaps … swap, the skew swap corresponds to a trading strategy, necessary to assess risk premia in a model-free way. We find that … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …
Persistent link: https://www.econbiz.de/10012904441
We measure the skew risk premium in the equity index market through the skew swap. We argue that just as variance swaps … swap, the skew swap corresponds to a trading strategy, necessary to assess risk premia in a model-free way. We find that … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …
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