Variance-of-variance risk premium
Andreas Kaeck
| Year of publication: |
2018
|
|---|---|
| Authors: | Kaeck, Andreas |
| Published in: |
Review of finance : journal of the European Finance Association. - Oxford : Oxford Univ. Press, ISSN 1572-3097, ZDB-ID 2145284-2. - Vol. 22.2018, 4, p. 1549-1579
|
| Subject: | VIX | Stochastic volatility-of-volatility | Variance risk premium | Risikoprämie | Risk premium | Volatilität | Volatility | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/rof/rfx008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012005754