2007•SSRN Electronic JournalOpen access

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

Markus Leippold, Liuren Wu, Daniel Egloff

Open full text 39 citations

Abstract

This record does not include an abstract. Use the full-text link above if available.

About this research paper

What this paper is about

An abstract is not available in the OpenAlex record for this paper.

Why it matters

OpenAlex reports 39 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Key concepts: Variance risk premium, Variance swap, Variance (accounting), Price variance, Econometrics, Realized variance, Swap (finance), Risk premium