31 resultados para Variance.
Filtro por publicador
- Aberdeen University (3)
- Academic Archive On-line (Stockholm University; Sweden) (1)
- Academic Research Repository at Institute of Developing Economies (1)
- Acceda, el repositorio institucional de la Universidad de Las Palmas de Gran Canaria. España (1)
- Aquatic Commons (23)
- Archimer: Archive de l'Institut francais de recherche pour l'exploitation de la mer (1)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (12)
- Aston University Research Archive (15)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (5)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP) (1)
- Biblioteca Digital de la Universidad Católica Argentina (3)
- Biblioteca Digital de Teses e Dissertações Eletrônicas da UERJ (2)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (16)
- Brock University, Canada (1)
- CaltechTHESIS (9)
- Cambridge University Engineering Department Publications Database (33)
- CentAUR: Central Archive University of Reading - UK (31)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (14)
- Cochin University of Science & Technology (CUSAT), India (1)
- Coffee Science - Universidade Federal de Lavras (1)
- Collection Of Biostatistics Research Archive (2)
- CORA - Cork Open Research Archive - University College Cork - Ireland (1)
- Dalarna University College Electronic Archive (6)
- Deakin Research Online - Australia (18)
- DI-fusion - The institutional repository of Université Libre de Bruxelles (1)
- DigitalCommons@The Texas Medical Center (3)
- Duke University (1)
- eResearch Archive - Queensland Department of Agriculture; Fisheries and Forestry (39)
- Helda - Digital Repository of University of Helsinki (51)
- Indian Institute of Science - Bangalore - Índia (121)
- INSTITUTO DE PESQUISAS ENERGÉTICAS E NUCLEARES (IPEN) - Repositório Digital da Produção Técnico Científica - BibliotecaTerezine Arantes Ferra (1)
- National Center for Biotechnology Information - NCBI (2)
- Nottingham eTheses (1)
- Plymouth Marine Science Electronic Archive (PlyMSEA) (1)
- Publishing Network for Geoscientific & Environmental Data (10)
- QSpace: Queen's University - Canada (1)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (4)
- Queensland University of Technology - ePrints Archive (479)
- Repositorio Academico Digital UANL (1)
- Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho" (20)
- School of Medicine, Washington University, United States (1)
- Universidad de Alicante (1)
- Universidad Politécnica de Madrid (1)
- Universidade Técnica de Lisboa (1)
- Université de Montréal (1)
- Université de Montréal, Canada (15)
- University of Connecticut - USA (1)
- University of Michigan (7)
- University of Queensland eSpace - Australia (12)
- University of Washington (1)
Relevância:
Resumo:
We analyze the risk premia embedded in the S&P 500 spot index and option markets. We use a long time-series of spot prices and a large panel of option prices to jointly estimate the diffusive stock risk premium, the price jump risk premium, the diffusive variance risk premium and the variance jump risk premium. The risk premia are statistically and economically significant and move over time. Investigating the economic drivers of the risk premia, we are able to explain up to 63 % of these variations.