Work

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

Year: 2007

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.903728

Authors: Markus Leippold, Liuren Wu, Daniel Egloff

Institutions: University of Zurich, Swiss Finance Institute, Baruch College, City University of New York

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1568900049

Cites: 21

Cited by: 38

Related to: 10