TY  - RPRT
AU  - Nieto, Belén
AU  - Novales Cinca, Alfonso
AU  - Rubio, Gonzalo
PY  - 2011
UR  - https://hdl.handle.net/20.500.14352/48981
AB  - This paper studies the determinants of the variance risk premium and concludes on the hedging possibilities offered by variance swaps. We start by showing that the variancerisk premium responds to changes in higher order moments of the distribution of...
LA  - eng
A3  - Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico
KW  - Variance risk premium
KW  - Non-normality
KW  - Economic risks
KW  - Hedging
TI  - Why do variance swaps exist?
TY  - technical report
VL  - 2011
ER  -