The price of variance risk
Ian Dew-Becker, Stefano Giglio, Anh Le, Marius Rodriguez
| Year of publication: |
February 2017
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|---|---|
| Authors: | Dew-Becker, Ian ; Giglio, Stefano ; Le, Anh ; Giudice Rodriguez, Marius del |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 123.2017, 2, p. 223-250
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| Subject: | Variance risk premium | Recursive preferences | Disasters | Risikoprämie | Risk premium | Börsenkurs | Share price | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Hedging | Katastrophe | Disaster | Portfolio-Management | Portfolio selection | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2016.04.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011748750