The Variance Risk Premium in Equilibrium Models

DOI10.1093/ROF/RFAD005OpenAlexW3121708177MaRDI QIDQ6119979

Andrey Ermolov, Geert Bekaert, Eric Engstrom

Publication date: 20 February 2024

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfad005

zbMATH Keywords

VIXvariance risk premiumhabitnon-Gaussian dynamicsbad volatilityrisk-neutral skewness

Mathematics Subject Classification ID

Financial markets (91G15)

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