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  • Search: subject:"Variance premium"
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Year of publication
Subject
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variance premium 7 Risikoprämie 6 Risk premium 6 Volatility 4 Volatilität 4 Börsenkurs 3 Risiko 3 Risikoaversion 3 Risk 3 Risk aversion 3 Share price 3 belief distortion 3 learning 3 Decision under uncertainty 2 Entscheidung unter Unsicherheit 2 Forecasting model 2 Liquidity 2 Liquidität 2 Market liquidity 2 Marktliquidität 2 Option pricing theory 2 Optionspreistheorie 2 Prognoseverfahren 2 Theorie 2 Theory 2 VIX 2 ambiguity aversion 2 equity premium puzzle 2 long-run risks 2 mean-variance premium principle 2 regime shift 2 return predictability 2 reversals 2 risk-free rate puzzle 2 smooth ambiguity aversion 2 the linearized credibility formula 2 variance premium puzzle 2 volatility 2 Ambiguity 1 Ambiguity aversion 1
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Online availability
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Free 15
Type of publication
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Book / Working Paper 11 Article 4
Type of publication (narrower categories)
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Working Paper 6 Graue Literatur 5 Non-commercial literature 5 Arbeitspapier 4 Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 12 Undetermined 3
Author
All
Wei, Bin 5 Miao, Jianjun 3 Zhou, Hao 3 ATANASIU, Virginia 2 Drechsler, Itamar 2 Moreira, Alan 2 Savov, Alexi 2 Astorino, Eduardo Sanchez 1 Babiak, Mykola 1 Cao, Jingyi 1 Chague, Fernando 1 Correia-da-Silva, João 1 Faria, Gonçalo 1 Feunou, Bruno 1 Giovannetti, Bruno 1 Jean-Sébastien 1 Kozhan, Roman 1 Li, Dongchen 1 Silva, Marcos Eugênio da 1 Taamouti, Abderrahim 1 Tédongap, Roméo 1 Xu, Zuo Quan 1 Young, Virginia R. 1 Zou, Bin 1
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Institution
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Departamento de Economía, Universidad Carlos III de Madrid 1 Department of Economics, Boston University 1 Faculdade de Economia, Universidade do Porto 1 Facultatea de Cibernetica, Statistica şi Informatica Economica, Academia de Studii Economice din Bucureşti 1
Published in...
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Scandinavian actuarial journal 2 Working Paper 2 Working papers / Federal Reserve Bank of Atlanta 2 Working papers / Rodney L. White Center for Financial Research 2 Boston University - Department of Economics - Working Papers Series 1 Economics Working Papers / Departamento de Economía, Universidad Carlos III de Madrid 1 FEP Working Papers 1 FRB Atlanta Working Paper 1 Informatica Economica 1 Proceedings of the 5th International Conference on Knowledge Management: Projects, Systems and Technologies,Bucharest, November 12-13 2010 1 Revista brasileira de economia : RBE ; publicação de Fundação Getúlio Vargas 1 Working paper series / Charles University, Center for Economic Research and Graduate Education ; Academy of Sciences of the Czech Republic, Economics Institute, CERGE-EI 1
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Source
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ECONIS (ZBW) 8 RePEc 5 EconStor 2
Showing 1 - 10 of 15
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Stackelberg differential game for insurance under model ambiguity : general divergence
Cao, Jingyi; Li, Dongchen; Young, Virginia R.; Zou, Bin - In: Scandinavian actuarial journal 2023 (2023) 7, pp. 735-763
Persistent link: https://www.econbiz.de/10014383896
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Moral-hazard-free insurance : mean-variance premium principle and rank-dependent utility theory
Xu, Zuo Quan - In: Scandinavian actuarial journal 2023 (2023) 3, pp. 269-289
Persistent link: https://www.econbiz.de/10014336334
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Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability … the ambiguity aversion channel accounts for 77 percent of the variance premium and 40 percent of the equity premium. …
Persistent link: https://www.econbiz.de/10012818998
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Growth uncertainty, rational learning, and option prices
Babiak, Mykola; Kozhan, Roman - 2021
Persistent link: https://www.econbiz.de/10012542894
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Cover Image
Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability … the ambiguity aversion channel accounts for 77 percent of the variance premium and 40 percent of the equity premium. …
Persistent link: https://www.econbiz.de/10012617667
Saved in:
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Liquidity and volatility
Drechsler, Itamar; Moreira, Alan; Savov, Alexi - 2020
Persistent link: https://www.econbiz.de/10012321327
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Ambiguity aversion and variance premium
Miao, Jianjun; Wei, Bin; Zhou, Hao - 2018
This paper offers an ambiguity-based interpretation of variance premium - the difference between risk-neutral and … regarding the uncertain economic regimes. Our approach endogenously generates variance premium without imposing exogenous … stochastic volatility or jumps in consumption process. Such a framework can reasonably match the mean variance premium as well as …
Persistent link: https://www.econbiz.de/10012030280
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Liquidity creation as volatility risk
Drechsler, Itamar; Moreira, Alan; Savov, Alexi - 2018
Persistent link: https://www.econbiz.de/10012050830
Saved in:
Cover Image
Ambiguity aversion and variance premium
Miao, Jianjun; Wei, Bin; Zhou, Hao - 2018
This paper offers an ambiguity-based interpretation of variance premium - the difference between risk-neutral and … regarding the uncertain economic regimes. Our approach endogenously generates variance premium without imposing exogenous … stochastic volatility or jumps in consumption process. Such a framework can reasonably match the mean variance premium as well as …
Persistent link: https://www.econbiz.de/10011939896
Saved in:
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Variance premium and implied volatility in a low-liquidity option market
Astorino, Eduardo Sanchez; Chague, Fernando; … - In: Revista brasileira de economia : RBE ; publicação de … 71 (2017) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10011898770
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