Variance Risk Premiums and the Forward Premium Puzzle

Variance Risk Premiums and the Forward Premium Puzzle
Author :
Publisher :
Total Pages :
Release :
ISBN-10 : OCLC:930997359
ISBN-13 :
Rating : 4/5 ( Downloads)
GET BOOK
Book Synopsis Variance Risk Premiums and the Forward Premium Puzzle by : Juan M. Londono

Download or read book Variance Risk Premiums and the Forward Premium Puzzle written by Juan M. Londono and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Variance Risk Premiums and the Forward Premium Puzzle Related Books

Variance Risk Premiums and the Forward Premium Puzzle
Language: en
Pages:

Variance Risk Premiums and the Forward Premium Puzzle

Authors: Juan M. Londono
Categories:
Type: BOOK - Published: 2012 - Publisher:

GET EBOOK

Determinants of Currency Risk Premiums
Language: en
Pages: 42

Determinants of Currency Risk Premiums

Authors: John A. Carlson
Categories:
Type: BOOK - Published: 2006 - Publisher:

GET EBOOK

This paper presents a theoretical model of exchange-rate determination intended to address the forward premium puzzle. It also explains the empirical observatio
An Explanation of the Forward Premium 'Puzzle'
Language: en
Pages:

An Explanation of the Forward Premium 'Puzzle'

Authors: Shu Yan
Categories:
Type: BOOK - Published: 2000 - Publisher:

GET EBOOK

Existing literature reports an empirical puzzle about the foreign exchange forward premium, the spread between the forward rate and the concurrently-observed sp
Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty
Language: en
Pages: 29

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Authors: Hao Zhou
Categories:
Type: BOOK - Published: 2018 - Publisher:

GET EBOOK

This article reviews the predictability evidence on the variance risk premium: ( a) It predicts significant positive risk premia across equity, bond, currency,
Variance Risk Premiums
Language: en
Pages:

Variance Risk Premiums

Authors: Peter Carr
Categories:
Type: BOOK - Published: 2010 - Publisher:

GET EBOOK

We propose a direct and robust method for quantifying the variance risk premium on financial assets. We show that the risk-neutral expected value of return vari