Sökning: "Andreas Rueckert"
Hittade 1 uppsats innehållade orden Andreas Rueckert.
1. The Dynamics of the Variance Risk Premium: Refining Volatility Forecasts and Portfolio Returns
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : In this paper, we investigate the dynamics of the variance risk premium and whether it can be used to achieve incremental predictability of future volatility on the S&P 500 index. Previous studies have focused on the usefulness of implied volatility in volatility forecasting. LÄS MER
Resultatsidor:
1