Variance premia in developed and emerging equity markets
收藏Mendeley Data2020-07-22 更新2026-04-09 收录
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资源简介：
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.
创建时间：
2020-07-22
