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Variance risk premiums and the forward premium puzzle · Study

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ArticleVariance risk premiums and the forward premium puzzle

Juan M. Londoño2017

Article2017

Variance risk premiums and the forward premium puzzle

Juan M. Londoño · Hao Zhou

131 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1988Stock Prices, Earnings, and Expected Dividends 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options

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2024Essays in International Finance 2023What is Certain about Uncertainty?2022Climate policy uncertainty and the stock return predictability of the oil industry 2021Exchange Rates and Sovereign Risk 2019The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets

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Details

Year2017

Typearticle

Published2017-02-21

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations131

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2017.02.002

openalex_workW2129641696

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2021The missing risk premium in exchange rates

2018Variance risk in aggregate stock returns and time-varying return predictability

2018Who benefits in a crisis? Evidence from hedge fund stock and option holdings