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The Price of Variance Risk

Ian Dew-Becker, Stefano Giglio, Anh Le, Marius del Giudice Rodriguez
Year2014
VenueSSRN Electronic Journal
Typepreprint
Citations24
DOI10.2139/ssrn.2471079
OpenAlexW1500950774

Topics

Financial Risk and Volatility ModelingVariance (accounting)EconometricsEconomicsVariance risk premiumActuarial science