The VIX, the Variance Premium, and Expected Returns

Daniela Osterrieder, Daniel Ventosa-Santaulària, J Eduardo Vera-Valdés

Research output: Contribution to journalJournal articleResearchpeer-review

5 Citations (Scopus)
176 Downloads (Pure)
Original languageEnglish
JournalJournal of Financial Econometrics
Volume17
Issue number4
Pages (from-to)517-558
Number of pages42
ISSN1479-8409
DOIs
Publication statusPublished - 2019

Keywords

  • fractional integration
  • implied variance
  • integrated variance
  • persistent predictor
  • return prediction
  • risk-return trade-off
  • variance premium

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