Variance premia in developed and emerging equity markets
- Fassas, A
DOI Publisher
Data Archiving and Networked Services (DANS)Abstract
The variance premia of developed markets (as proxied by MSCI EAFE Index), emerging markets (as proxied by MSCI Emerging Markets Index) and the US market (as proxied by S&P500 index). We define the Variance Risk Premium (VRP) as the difference between the ex-post realized return variation and the ex-ante risk-neutral expectation of the future return variation, as proxied by the respective implied volatility index
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