The Variance Risk Premium Over Trading and Nontrading Periods
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DOI: 10.1002/fut.22589
Abstract: In this paper, we decompose the variance risk premium (VRP) into overnight and intraday components using model‐free implied variance stock indices in the United States, Europe, and Asia. We find that during the nontrading overnight… read more here.
Keywords: trading; variance risk; risk premium;
Variance risk in commodity markets
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DOI: 10.1016/j.jbankfin.2017.05.003
Abstract: We analyze the variance risk of commodity markets. We construct synthetic variance swaps and find significantly negative realized variance swap payoffs in most markets. We find evidence of commonalities among the realized payoffs of commodity… read more here.
Keywords: risk commodity; variance risk; variance swaps; commodity markets ... See more keywords
Asset Variance Risk Premium and Capital Structure
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DOI: 10.1017/s0022109020000228
Abstract: Abstract This article investigates how the asset-return variance risk premium changes leverage. I find that the premium reduces leverage by increasing risk-neutral bankruptcy probability and costs in a model where asset returns have stochastic variance… read more here.
Keywords: variance; leverage; risk premium; asset ... See more keywords