Open AccessVolatility of Volatility and Tail Risk Premiums
Author(s) -
Yang-Ho Park
Publication year - 2013
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2013.54
Subject(s) - volatility risk premium , volatility (finance) , economics , volatility risk , implied volatility , volatility swap , volatility smile , forward volatility , realized variance , econometrics , stochastic volatility , variance swap , tail risk , financial economics , predictability , hedge , risk premium , mathematics , statistics , ecology , biology