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1.
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We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainti[...]
2015 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness model[...]
2016 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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3.
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This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness model[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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