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The price of variance risk

Ian Dew-Becker, Stefano Giglio, Anh Le, Marius del Giudice Rodriguez
Year2016
VenueJournal of Financial Economics
Typearticle
Citations189
DOI10.1016/j.jfineco.2016.04.003
OpenAlexW3124502480

Topics

Financial Risk and Volatility ModelingVariance risk premiumEconometricsEconomicsVariance (accounting)Volatility (finance)