Assessing the compensation for volatility risk implicit in interest rate derivatives
Year of publication: |
2008-01
|
---|---|
Authors: | Fornari, Fabio |
Institutions: | European Central Bank |
Subject: | economic surprises | risk aversion | Volatility risk premium |
-
Assessing the compensation for volatility risk implicit in interest rate derivatives
Fornari, Fabio, (2008)
-
The high frequency risk attitude implied by the volatility risk premium
Zhu, Chao, (2021)
-
Seasonality in perceived risk : a sentiment effect
Kaplanski, Guy, (2017)
- More ...
-
Assessing the compensation for volatility risk implicit in interest rate derivatives
Fornari, Fabio, (2008)
-
Stock market firm-level information and real economic activity
di Mauro, Filippo, (2011)
-
What does a financial shock do? First international evidence
Fornari, Fabio, (2013)
- More ...