Variance-of-Variance Risk Premium*

DOI10.1093/ROF/RFX008zbMath1402.91916OpenAlexW2593372122MaRDI QIDQ4555738

Andreas Kaeck

Publication date: 20 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: http://sro.sussex.ac.uk/id/eprint/66438/1/MS3940.pdf

zbMATH Keywords

VIXvariance risk premiumstochastic volatility-of-volatility

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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