The variance risk premium and fundamental uncertainty

DOI10.1016/J.ECONLET.2015.04.006zbMath1364.91153OpenAlexW2146975383MaRDI QIDQ529727

Karin Loch, Christian Conrad

Publication date: 9 June 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://archiv.ub.uni-heidelberg.de/volltextserver/18312/1/conrad_Loch_2015_dp583.pdf

zbMATH Keywords

VIXvariance risk premiumreturn predictabilityeconomic uncertaintyGARCH-MIDASvol-of-vol

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites Work

• The VIX, the variance premium and stock market volatility
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• Volatility in Equilibrium: Asymmetries and Dynamic Dependencies*

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