How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns

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Embargoed until: 2100-01-01
Volume
62
Pagination
62 - 75
DOI
10.1016/j.jbankfin.2015.10.006
ISSN
0378-4266
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Authors
Konstantinidi, E; Skiadopoulos, G
URI
http://qmro.qmul.ac.uk/xmlui/handle/123456789/14794
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Licence information
© 2016 Elsevier
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