The Price of Variance Risk
收藏NBER2015-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w21182
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资源简介：
In the period 1996-2014, the average investor in the variance swap market was indifferent to news about future variance at horizons ranging from 1 month to 14 years. It is only purely transitory and unexpected realized variance that were priced. These results present a challenge to most structural
提供机构：
美国国家经济研究局
创建时间：
2015-05-01
