Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion (Q2813080)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion |
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Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion (English)
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15 June 2016
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variance risk premium
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quadratic variation
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stochastic volatility
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Lévy processes
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leverage effect
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Hawkes process
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self-excitement
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contagion
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change of measure
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