TY  - RPRT
AU  - Nieto, Belén
AU  - Novales Cinca, Alfonso Santiago
AU  - Rubio, Gonzalo
PY  - 2011
UR  - https://hdl.handle.net/20.500.14352/48983
AB  - This paper proposes an ICAPM in which the risk premium embedded in variance swaps is the factor mimicking portfolio for hedging exposure to changes in future investment conditions. Recent empirical evidence shows that the fears by investors to...
LA  - eng
A3  - Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico
KW  - Variance risk premium
KW  - Intertemporal asset pricing
TI  - Variance Swaps and Intertemporal Asset Pricing
TY  - technical report
VL  - 2011
ER  -