Dynamics of variance risk premium : evidence from India
Ganesh Sankar, Shankar Ramachandran, Jijo Lukose P J
| Year of publication: |
2020
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|---|---|
| Authors: | Sankar, Ganesh ; Ramachandran, Shankar ; Lukose P. J., Jijo |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 70.2020, p. 321-334
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| Subject: | Jumps | Model free implied volatility | Realized variance | Synthetic variance swaps | Variance risk premium | Volatilität | Volatility | Risikoprämie | Risk premium | Indien | India | Swap | Varianzanalyse | Analysis of variance | Optionsgeschäft | Option trading | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2020.06.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012486796