...-premium as the difference from high-frequencies' realized volatility and options' implied volatility stemming from 19 stock markets, estimate a 2-state Markov-switching model on the variance risk-premia and optimize variance risk-premia portfolios across non-overlapping regions. The period goes from March...

... Limited 2014 Factorization Implied volatility Interest rates Market risk The financial crisis last decade demonstrated that many institutions were not prepared adequately for sudden and large market declines. Even today, much improvement remains for risk management techniques...