The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis

Author:

Ait-Sahalia Yacine,Karaman Mustafa,Mancini Loriano

Publisher

Elsevier BV

Reference65 articles.

1. Variance swap rates with time to maturity of 3-, 12-month (and 3-month, for the SV1F model) are assumed to be observed without errors. Variance swap rates with time to maturity of 2-, 6-, 24-month (and 12-month, for the SV1F model) are assumed to be observed with normal errors whose standard deviations are ? ? 1;label SV2F-PJ-VJ) and three nested models (label SV1F, SV2F and SV2F-PJ, respectively),1996

2. Stock returns and volatility: Pricing the short-run and long-run components of market risk;T Adrian;The Journal of Finance,2008

3. Maximum-likelihood estimation of discretely-sampled diffusions: A closed-form approximation approach;Y A�?ta�?t-Sahalia;Econometrica,2002

4. Closed-form likelihood expansions for multivariate diffusions;Y A�?ta�?t-Sahalia;Annals of Statistics,2008

5. Estimating affine multifactor term structure models using closed-form likelihood expansions;Y A�?ta�?t-Sahalia;Journal of Financial Economics,2010

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