articleJournal of EconometricsMay 20, 2014Closed access

The VIX, the variance premium and stock market volatility

GBGeert BekaertMHMarie Hoerova

European Central Bank

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Abstract

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801
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53.79
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100%
References
75
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Authors

2

Topics & keywords

Topics
Keywords
  • Variance risk premium
  • Economics
  • Conditional variance
  • Econometrics
  • Volatility (finance)
  • Realized variance
  • Stock (firearms)
  • Variance swap
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