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Keywords: Upside Variance
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2018) 26 (4): 391–423.
Published: 30 November 2018
... returns, and also has limitation in reflecting asymmetric preference of investors over gains and losses. In this sense, this paper decomposes variance risk premium into downside - and upside-variance risk premium, and then derives the skewness risk premium and examines its effectiveness in predicting...
