Sökning: "Andreas Rueckert"

Hittade 1 uppsats innehållade orden Andreas Rueckert.

  1. 1. The Dynamics of the Variance Risk Premium: Refining Volatility Forecasts and Portfolio Returns

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Fredrik Iversen; Andreas Rueckert; [2014]
    Nyckelord :Volatility forecasting; Variance risk premium; Implied Volatility; Realized Kernel;

    Sammanfattning : 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