Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7361063 | Journal of Empirical Finance | 2013 | 17 Pages |
Abstract
When we test whether variance risk premiums can be attributed to classic risk factors or fear of jump risk, we find that conditional premiums remain significantly negative. However, we observe a strong relationship between the size of log variance risk premiums and the VIX, the TED spread and the general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a separately priced variance risk factor which commands a highly time-varying premium.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Manuel Ammann, Ralf Buesser,