The price of variance risk

Author:

Dew-Becker Ian,Giglio Stefano,Le Anh,Rodriguez Marius

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference78 articles.

1. Ait-Sahalia, Y., Karaman, M. Mancini, L., 2014. The term structure of variance swaps, risk premia and the expectations hypothesis. Working paper.

2. Out of sample forecasts of quadratic variation;Ait-Sahalia;Journal of Econometrics,2008

3. Amengual, D. Xiu, D., 2014. Resolution of policy uncertainty and sudden declines in volatility. Working paper.

4. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

5. Andersen, T. G. Bondarenko, O., 2007. Construction and interpretation of model-free implied volatility. Working paper.

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