In this thesis, I study the variance risk premium in Gold VIX market. Using synthetically created variance swaps, I quantify the variance risk premium to be average -0.068 in absolute terms and -0.358 in log return terms, meaning that purchasing volatility in Gold VIX is generally unprofitable. Although the average negative risk premium is not statistically significant, the mean log return of risk premium is robust with Newey-West test. Furthermore, I attempt to test whether risk premium vary with time or the level of the swap rate, but obtain unclear results
We investigate the role of market-makers in determining the variance risk premium. A substantial par...
We use equity option prices and high frequency stock prices to estimate stock’s variance risk premiu...
This paper studies the pricing of long and short run variance and correlation risk. The predictive p...
This article explores the premium for bearing the variance risk of the VIX index, called the varianc...
We propose a direct and robust method for quantifying the variance risk premium on financial assets....
2017-06-19In general, investors are recognized to be risk averse. Investors favor higher expected re...
Variance risk premia are computed based on the VIX methodology for four stock indices and five singl...
This paper studies the determinants of the variance risk premium and discusses the hedging possibili...
Using a relatively model-free approach to extract the risk-neutral expected variance from an extensi...
The central empirical variable of this paper, as a proxy for economic uncertainty, is the market var...
The variance premia of developed markets (as proxied by MSCI EAFE Index), emerging markets (as proxi...
Implied option volatility averages about 19 % per year, while the unconditional return volatility is...
Volatility is a common risk measure in the field of finance that describes the magnitude of an asset...
This dissertation studies the determinants of expected option returns and equilibrium determinants o...
<p>This article examines the properties of the variance risk premium (VRP). We propose a flexible as...
We investigate the role of market-makers in determining the variance risk premium. A substantial par...
We use equity option prices and high frequency stock prices to estimate stock’s variance risk premiu...
This paper studies the pricing of long and short run variance and correlation risk. The predictive p...
This article explores the premium for bearing the variance risk of the VIX index, called the varianc...
We propose a direct and robust method for quantifying the variance risk premium on financial assets....
2017-06-19In general, investors are recognized to be risk averse. Investors favor higher expected re...
Variance risk premia are computed based on the VIX methodology for four stock indices and five singl...
This paper studies the determinants of the variance risk premium and discusses the hedging possibili...
Using a relatively model-free approach to extract the risk-neutral expected variance from an extensi...
The central empirical variable of this paper, as a proxy for economic uncertainty, is the market var...
The variance premia of developed markets (as proxied by MSCI EAFE Index), emerging markets (as proxi...
Implied option volatility averages about 19 % per year, while the unconditional return volatility is...
Volatility is a common risk measure in the field of finance that describes the magnitude of an asset...
This dissertation studies the determinants of expected option returns and equilibrium determinants o...
<p>This article examines the properties of the variance risk premium (VRP). We propose a flexible as...
We investigate the role of market-makers in determining the variance risk premium. A substantial par...
We use equity option prices and high frequency stock prices to estimate stock’s variance risk premiu...
This paper studies the pricing of long and short run variance and correlation risk. The predictive p...
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