- Abstract
- Non-technical summary
- 1 Introduction
- 2 Forming expectations of swap volatilities
- 3 Evidence
- 3.1 Data and delta-hedged gains
- 3.2 Garch-based compensationfor volatility risk
- 3.3 Reality check
- 4 Determinants of the compensationfor volatility risk
- 4.1 Financial variables
- 4.2 Macroeconomic surprises
- 5 Conclusions
- References
- Tables and fi gures
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