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  • Search: subject:"Variance Risk Premium"
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Year of publication
Subject
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variance risk premium 54 Risikoprämie 46 Risk premium 45 Volatility 27 Volatilität 27 Börsenkurs 24 Share price 24 Forecasting model 23 Prognoseverfahren 23 Variance risk premium 21 Option trading 19 Optionsgeschäft 19 Variance Risk Premium 18 Portfolio selection 15 Portfolio-Management 15 Capital income 14 Estimation 14 Kapitaleinkommen 14 Schätzung 14 Option pricing theory 10 Optionspreistheorie 10 Theorie 10 Theory 10 realized volatility 10 VIX 9 return predictability 9 Swap 8 ARCH-Modell 7 CAPM 7 Japan 7 Yield curve 7 Zinsstruktur 7 option implied volatility 7 predictability 7 stochastic volatility 7 ARCH model 6 Kapitalmarktrendite 6 Predictability 6 Statistical distribution 6 Statistische Verteilung 6
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Online availability
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Free 99 CC license 4
Type of publication
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Book / Working Paper 87 Article 12
Type of publication (narrower categories)
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Working Paper 50 Graue Literatur 34 Non-commercial literature 34 Arbeitspapier 32 Article in journal 11 Aufsatz in Zeitschrift 11 Hochschulschrift 3 Article 1 Aufsatzsammlung 1 Collection of articles of several authors 1 Sammelwerk 1 Thesis 1
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Language
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English 75 Undetermined 24
Author
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Bollerslev, Tim 10 Chevallier, Julien 5 Korn, Olaf 5 Tauchen, George 5 Zhou, Hao 5 Hattori, Masazumi 4 Konstantinidi, Eirini 4 Londono, Juan M. 4 Shim, Ilhyock 4 Sizova, Natalia 4 Skiadopoulos, George 4 Sugihara, Yoshihiko 4 Sévi, Benoît 4 Vogt, Erik 4 Ammann, Manuel 3 Brinkmann, Felix 3 Chang, Chia-Lin 3 Conrad, Christian 3 Jamali, Ibrahim 3 McAleer, Michael 3 Power, Gabriel J. 3 Todorov, Viktor 3 Van Tassel, Peter 3 Vilkovz, Grigory 3 Xiaox, Yan 3 Xu, Lai 3 Zhang, Jin E. 3 Bali, Turan G. 2 Bardgett, Chris 2 Bekaert, Geert 2 Caporin, Massimiliano 2 Dufour, Jean-Marie 2 Dörries, Julian 2 Fausti, Scott W. 2 Gospodinov, Nikolay 2 Gourier, Elise 2 Hoerova, Marie 2 Kolokolov, Alexey 2 Leippold, Markus 2 Loch, Karin 2
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Institution
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School of Economics and Management, University of Aarhus 7 Duke University, Department of Economics 2 Economics Department, South Dakota State University 2 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 2 Federal Reserve Board (Board of Governors of the Federal Reserve System) 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Alfred-Weber-Institut für Wirtschaftswissenschaften, Fakultät für Wirtschafts- und Sozialwissenschaften 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Departamento de Economía, Universidad Carlos III de Madrid 1 European Central Bank 1 Fakultät für Wirtschaftswissenschaft, Otto-von-Guericke-Universität Magdeburg 1 Federal Reserve Bank of Atlanta 1 Federal Reserve Bank of New York 1 Fondazione ENI Enrico Mattei (FEEM) 1 Galatasaray Üniversitesi İktisadi Araştırmalar Merkezi (GİAM), Galatasaray Üniversitesi 1 Institut de Préparation à l'Administration et à la Gestion (IPAG) 1 Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät 1 Institute of Economic Research, Hitotsubashi University 1 Research Center SAFE (Sustainable Architecture for Finance in Europe), House of Finance 1 School of Economics and Finance, Queen Mary 1 Tinbergen Instituut 1 Université Paris-Dauphine (Paris IX) 1 İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi 1
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Published in...
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CREATES Research Papers 7 Working Paper 4 International finance discussion papers 3 SAFE Working Paper 3 Staff Report 3 The journal of futures markets 3 CFR Working Paper 2 Documentos de Trabajo del ICAE 2 FRB International Finance Discussion Paper 2 MPRA Paper 2 Multinational finance journal 2 SAFE working paper 2 Staff Papers / Economics Department, South Dakota State University 2 Staff reports / Federal Reserve Bank of New York 2 Staff working papers / Bank of England 2 Working Papers / Duke University, Department of Economics 2 Working paper 2 Working paper / Centre for Financial Research 2 Working papers / Bank for International Settlements 2 Working papers on finance 2 ADBI Working Paper 1 CFR Working Papers 1 CIRANO Working Papers 1 CIS discussion paper series 1 CREATES research paper 1 Cahier de recherche 1 Discussion Paper Series 1 Discussion paper / LSE Financial Markets Group 1 Discussion paper / Tinbergen Institute 1 Discussion paper series / University of Heidelberg, Department of Economics 1 ECB Working Paper 1 ESRB Working Paper Series 1 Economics Papers from University Paris Dauphine 1 Economics Working Papers / Departamento de Economía, Universidad Carlos III de Madrid 1 European financial management : the journal of the European Financial Management Association 1 FEMM Working Papers 1 Finance and Economics Discussion Series 1 GIAM Working Papers 1 Global COE Hi-Stat Discussion Paper Series 1 IMES discussion paper series / Englische Ausgabe 1
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Source
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ECONIS (ZBW) 46 RePEc 34 EconStor 19
Showing 1 - 10 of 99
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The U.S. Dollar and variance risk premia imbalances
Kjær, Mads Markvart; Posselt, Anders Merrild - In: The financial review : the official publication of the … 60 (2025) 1, pp. 173-200
Persistent link: https://www.econbiz.de/10015166669
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Persistent and transient variance components in option pricing models with variance-dependent Kernel
Ghanbari, Hamed - In: Journal of empirical finance 79 (2024), pp. 1-32
Persistent link: https://www.econbiz.de/10015179565
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The global determinants of international equity risk premiums
Londono, Juan M.; Xu, Nancy R. - 2021
Persistent link: https://www.econbiz.de/10012590216
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How should the long-term investor harvest variance risk premiums?
Dörries, Julian; Korn, Olaf; Power, Gabriel J. - 2023
Derivatives strategies that aim to earn variance risk premiums are exposed to sharp price declines during market crises, calling into question their suitability for the longterm investor. Our paper defines, analyzes, and proposes potential solutions to three problems (payoff, leverage and finite...
Persistent link: https://www.econbiz.de/10014420677
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How should the long-term investor harvest variance risk premiums?
Dörries, Julian; Korn, Olaf; Power, Gabriel J. - 2023
Derivatives strategies that aim to earn variance risk premiums are exposed to sharp price declines during market crises, calling into question their suitability for the longterm investor. Our paper defines, analyzes, and proposes potential solutions to three problems (payoff, leverage and finite...
Persistent link: https://www.econbiz.de/10014384596
Saved in:
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Credit variance risk premiums
Ammann, Manuel; Mörke, Mathis - In: European financial management : the journal of the … 29 (2023) 4, pp. 1304-1335
Persistent link: https://www.econbiz.de/10014369332
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Do financial markets predict macroeconomic performance? : US evidence from risk-based measures
McMillan, David G. - In: The Manchester School 91 (2023) 5, pp. 439-466
Persistent link: https://www.econbiz.de/10014326656
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Term spreads of implied volatility smirk and variance risk premium
Guo, Wei; Ruan, Xinfeng; Gehricke, Sebastian A.; Zhang, … - In: The journal of futures markets 43 (2023) 7, pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
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Variance risk premium components and international stock return predictability
Londono, Juan M.; Xu, Nancy R. - 2019
Persistent link: https://www.econbiz.de/10012004721
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Forecasting variance swap payoffs
Dark, Jonathan; Gao, Xin; Heijden, Thijs van der; … - In: The journal of futures markets 42 (2022) 12, pp. 2135-2164
Persistent link: https://www.econbiz.de/10013465873
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