A global factor in variance risk premia and local bond pricing

Iryna Kaminska and Matt Roberts-Sklar

Year of publication:	December 2015
Authors:	Kaminska, Iryna ; Roberts-Sklar, Matt
Publisher:	[London] : Bank of England
Subject:	Affine term structure models \| option implied volatility \| realized volatility \| risk aversion \| stochastic discount factor \| variance risk premium \| volatility forecasting \| Volatilität \| Volatility \| Risikoprämie \| Risk premium \| Zinsstruktur \| Yield curve \| Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Schätzung \| Estimation \| CAPM \| Kapitaleinkommen \| Capital income \| Risikoaversion \| Risk aversion \| Diskontierung \| Discounting \| Anleihe \| Bond

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