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  • Search: subject:"Variance risk premium"
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Year of publication
Subject
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Risikoprämie 137 Risk premium 136 Variance risk premium 95 Volatility 85 Volatilität 85 variance risk premium 77 Börsenkurs 76 Share price 76 Forecasting model 63 Prognoseverfahren 63 Option trading 58 Optionsgeschäft 58 Portfolio selection 57 Portfolio-Management 57 Capital income 50 Kapitaleinkommen 50 Estimation 36 Schätzung 36 Theorie 30 Theory 30 Risk 27 Risiko 26 CAPM 25 Option pricing theory 25 Optionspreistheorie 25 VIX 19 ARCH-Modell 18 Variance Risk Premium 18 ARCH model 17 Swap 17 Statistical distribution 16 Statistische Verteilung 16 Risk aversion 15 Analysis of variance 14 Kapitalmarktrendite 14 Risikoaversion 14 Varianzanalyse 14 Yield curve 14 Zinsstruktur 14 Capital market returns 13
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Online availability
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Free 99 Undetermined 84 CC license 4
Type of publication
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Article 107 Book / Working Paper 91
Type of publication (narrower categories)
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Article in journal 100 Aufsatz in Zeitschrift 100 Working Paper 51 Graue Literatur 35 Non-commercial literature 35 Arbeitspapier 33 Hochschulschrift 3 Article 1 Aufsatz im Buch 1 Aufsatzsammlung 1 Book section 1 Collection of articles of several authors 1 Sammelwerk 1 Thesis 1
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Language
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English 166 Undetermined 32
Author
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Bollerslev, Tim 12 Zhang, Jin E. 7 Zhou, Hao 7 Bekaert, Geert 6 Konstantinidi, Eirini 6 Skiadopoulos, George 6 Ubukata, Masato 6 Ammann, Manuel 5 Chang, Chia-Lin 5 Chevallier, Julien 5 Hattori, Masazumi 5 Korn, Olaf 5 Londono, Juan M. 5 McAleer, Michael 5 Shim, Ilhyock 5 Sugihara, Yoshihiko 5 Tauchen, George 5 Xu, Lai 5 Conrad, Christian 4 Hoerova, Marie 4 Novales, Alfonso 4 Power, Gabriel J. 4 Qadan, Mahmoud 4 Ruan, Xinfeng 4 Rubio, Gonzalo 4 Sizova, Natalia 4 Sévi, Benoît 4 Todorov, Viktor 4 Vogt, Erik 4 Watanabe, Toshiaki 4 Xu, Nancy R. 4 Bardgett, Chris 3 Brinkmann, Felix 3 Buesser, Ralf 3 Caporin, Massimiliano 3 Fausti, Scott W. 3 Gourier, Elise 3 Jamali, Ibrahim 3 Leippold, Markus 3 Lotfaliei, Babak 3
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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 C.E.P.R. Discussion Papers 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Departamento de Economía, Universidad Carlos III de Madrid 1 Department of Economics and Finance, College of Business and Economics 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 School of Finance, Universität St. Gallen 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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Management science : journal of the Institute for Operations Research and the Management Sciences 8 CREATES Research Papers 7 Journal of financial economics 7 Journal of banking & finance 6 The journal of futures markets 6 Finance research letters 5 Journal of econometrics 5 International review of economics & finance : IREF 4 Working Paper 4 Applied economics letters 3 Economics letters 3 European journal of operational research : EJOR 3 International finance discussion papers 3 Journal of empirical finance 3 Review of finance : journal of the European Finance Association 3 SAFE Working Paper 3 Staff Report 3 Working paper 3 CFR Working Paper 2 Documentos de Trabajo del ICAE 2 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 2 Energy economics 2 FRB International Finance Discussion Paper 2 Journal of asset management : a major new, international quarterly journal for the financial community 2 Journal of financial econometrics 2 Journal of international money and finance 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 The quarterly journal of finance 2 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 2 Working Papers / Duke University, Department of Economics 2 Working paper / Centre for Financial Research 2 Working papers / Bank for International Settlements 2 Working papers on finance 2 ADBI Working Paper 1 Agricultural economics : the journal of the International Association of Agricultural Economists 1
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Source
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ECONIS (ZBW) 137 RePEc 42 EconStor 19
Showing 1 - 10 of 198
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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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The variance risk premium over trading and nontrading periods
Papagelis, Lucas; Dotsis, George - In: The journal of futures markets 45 (2025) 7, pp. 752-770
Persistent link: https://www.econbiz.de/10015464862
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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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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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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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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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Exploring the mechanics and applications of equity swaps in investment portfolio
Small, Christopher; Weisman, Andrew - In: Derivatives Applications in Asset Management : From …, (pp. 339-350). 2025
Persistent link: https://www.econbiz.de/10015434674
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