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- W2914915776 abstract "This paper estimates the Variance Risk Premium (VRP) directly from synthetic variance swap payoffs. Since variance swap payoffs are highly volatile, we extract the VRP by using signal extraction techniques based on a state-space representation of our model in combination with a simple economic constraint. Our approach, only requiring option implied volatilities and daily returns for the underlying, provides measurement error free estimates of the part of the VRP related to normal market conditions, and allows constructing variables indicating agents' expectations under extreme market conditions. The latter variables and the VRP generate different return predictability on the major US indices. A factor model is proposed to extract a market VRP which turns out to be priced when considering Fama and French portfolios." @default.
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- W2914915776 date "2017-05-30" @default.
- W2914915776 modified "2023-09-26" @default.
- W2914915776 title "Variance swap payoffs, risk premia and extreme market conditions" @default.
- W2914915776 hasPublicationYear "2017" @default.
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