Dynamics of variance risk premium: Evidence from India

Author:

Sankar Ganesh,Ramachandran Shankar,Lukose P J Jijo

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference32 articles.

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3. Roughing it up: Including jump components in the measurement, modeling and forecasting of return volatility;Andersen;The Review of Economics and Statistics,2007

4. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001

5. Delta-hedged gains and the negative market volatility risk premium;Bakshi;Review of Financial Studies,2003

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