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Variance risk premiums
 Review of Financial Studies 000
, 2008
"... We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the riskneutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options. We propose to use the di ..."
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Cited by 91 (7 self)
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We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the riskneutral expected value of return variance, also known as the variance swap rate, is well approximated by the value of a particular portfolio of options. We propose to use
The price of variance risk
, 2014
"... The average investor in the variance swap market is 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 is priced. These results present a challenge to most structural models of the variance risk p ..."
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Cited by 1 (0 self)
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The average investor in the variance swap market is 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 is priced. These results present a challenge to most structural models of the variance risk
Variance Risk Premia in Commodity Markets
, 2013
"... In this paper, we study variance risk premia in commodity markets. Using synthetic variance swaps, we find significant variance risk premia in 18 out of 21 markets. Typically, variance risk premia are negative, timevarying and their magnitudes increase with variance. Consistent with theory, we find ..."
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In this paper, we study variance risk premia in commodity markets. Using synthetic variance swaps, we find significant variance risk premia in 18 out of 21 markets. Typically, variance risk premia are negative, timevarying and their magnitudes increase with variance. Consistent with theory, we
Variance risk premia in energy commodities
, 2009
"... This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust modelindependent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for both energy commodities. However, it is diffi ..."
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Cited by 2 (0 self)
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This paper investigates variance risk premia in energy commodities, particularly crude oil and natural gas, using a robust modelindependent approach. Over a period of 11 years, we find that the average variance risk premia are significantly negative for both energy commodities. However
Downside Variance Risk Premium
, 2015
"... NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminary materials circulated to stimulate discussion and critical comment. The analysis and conclusions set forth are those of the authors and do not indicate concurrence by other members of the research staff o ..."
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NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminary materials circulated to stimulate discussion and critical comment. The analysis and conclusions set forth are those of the authors and do not indicate concurrence by other members of the research staff or the Board of Governors. References in publications to the Finance and Economics Discussion Series (other than acknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.
Predictability and Variance Risk Premium Explaining
, 2010
"... In this paper, we extend the longrun risks model of Bansal and Yaron (BY, 2004) to allow both a long and a shortrun volatility component in consumption growth, longrun risks, and dividend growth. With estimated parameters via the GMM, we demonstrate that our twofactor volatility model outperfor ..."
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outperforms onefactor one by better capturing macroeconomic volatility, and by reconciling simultaneously the large negative market variance risk premium, differing predictability in excess returns, consumption, dividends, and stock market volatility, all of which are difficult to explain previously
Hedging (Co)Variance Risk with Variance Swaps ∗
, 2008
"... In this paper we introduce a new criterion in order to measure the variance and covariance risks in financial markets. In an asset allocation framework with stochastic (co)variances, we consider the possibility to invest also in variance swaps, that are assets which span the volatility as well as th ..."
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In this paper we introduce a new criterion in order to measure the variance and covariance risks in financial markets. In an asset allocation framework with stochastic (co)variances, we consider the possibility to invest also in variance swaps, that are assets which span the volatility as well
Expected Stock Returns and Variance Risk
"... Motivated by the implications from a stylized selfcontained general equilibrium model incorporating the effects of timevarying economic uncertainty, we show that the difference between implied and realized variation, or the variance risk premium, is able to explain a nontrivial fraction of the tim ..."
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Motivated by the implications from a stylized selfcontained general equilibrium model incorporating the effects of timevarying economic uncertainty, we show that the difference between implied and realized variation, or the variance risk premium, is able to explain a nontrivial fraction
Expected stock returns and variance risk premia, working paper
, 2008
"... Motivated by the implications from a stylized selfcontained general equilibrium model incorporating the effects of timevarying economic uncertainty, we show that the difference between implied and realized variation, or the variance risk premium, is able to explain a nontrivial fraction of the ti ..."
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Cited by 123 (9 self)
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Motivated by the implications from a stylized selfcontained general equilibrium model incorporating the effects of timevarying economic uncertainty, we show that the difference between implied and realized variation, or the variance risk premium, is able to explain a nontrivial fraction
Results 1  10
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4,007