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Variance risk : a bird's eye view
Hollstein, Fabian; Wese Simen, Chardin - In: Journal of econometrics 215 (2020) 2, pp. 517-535
Persistent link: https://www.econbiz.de/10012439498
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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - In: Journal of banking & finance 62 (2016), pp. 62-75
Persistent link: https://www.econbiz.de/10011634054
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Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng; So, Leh-Chyan - In: Journal of mathematical finance 8 (2018) 2, pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
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Performance of tail hedged portfolio with third moment variation swap
Lee, Kyungsub; Seo, Byoung Ki - In: Computational economics 50 (2017) 3, pp. 447-471
Persistent link: https://www.econbiz.de/10011783329
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Rate fears gauges and the dynamics of fixed income and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265
Persistent link: https://www.econbiz.de/10011377668
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Rate fears gauges and the dynamics of fixed income and equity volatilities
Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265
Persistent link: https://www.econbiz.de/10011377669
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Variance swaps, non-normality and macroeconomic and financial risks
Nieto Domenech, Belen; Novales, Alfonso; Rubio, Gonzalo - In: The quarterly review of economics and finance : journal … 54 (2014) 2, pp. 257-270
Persistent link: https://www.econbiz.de/10010467548
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An investigation of model risk in a market with jumps and stochastic volatility
Coqueret, Guillaume - In: European journal of operational research : EJOR 253 (2016) 3, pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
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A guide to volatility and variance swaps
Demeterfi, Kresimir (contributor) - In: The journal of derivatives : the official publication … 6 (1999) 4, pp. 9-32
Persistent link: https://www.econbiz.de/10001432447
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Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - In: Journal of empirical finance 23 (2013), pp. 16-32
Persistent link: https://www.econbiz.de/10010221798