Dynamics of variance risk premia: a new model for disentangling the price of risk
DOI10.1016/J.JECONOM.2019.12.006zbMATH Open1456.62256OpenAlexW2997647064WikidataQ126425564 ScholiaQ126425564MaRDI QIDQ2190227FDOQ2190227
Authors: Jeroen V. K. Rombouts, Lars Stentoft, Francesco Violante 
Publication date: 18 June 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.12.006
Recommendations
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
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- The VIX, the variance premium and stock market volatility
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Cited In (14)
- TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL
- Total and partial bivariate risk premia: an extension
- A non-linear dynamic model of the variance risk premium
- The risk premium that never was: a fair value explanation of the volatility spread
- Pricing equity-bond covariance risk: between flight-to-quality and fear-of-missing-out
- Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance
- Variance trading and market price of variance risk
- The VIX, the variance premium and stock market volatility
- Modeling Variance Risk Premium
- Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
- Movements in the Equity Premium: Evidence from a Time-Varying VAR
- Editorial: Nonlinear financial econometrics JoE special issue introduction
- On bivariate risk premia
- Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
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