Variance risk premiums and predictive power of alternative forward variances in the corn market
Z Wang, SW Fausti, BA Qasmi - Journal of Futures Markets, 2012 - Wiley Online Library
We propose a fear index for corn using the variance swap rate synthesized from out‐of‐the‐
money call and put options as a measure of implied variance. We find negative and time …
money call and put options as a measure of implied variance. We find negative and time …
Variance risk premiums and predictive power of alternative forward variances in the corn market
Z Wang, SW Fausti, BA Qasmi - Journal of Futures Markets, 2012 - ideas.repec.org
We propose a fear index for corn using the variance swap rate synthesized from out-of-the-
money call and put options as a measure of implied variance. Previous studies estimate …
money call and put options as a measure of implied variance. Previous studies estimate …
Variance risk premiums and predictive power of alternative forward variances in the corn market
Z Wang, SW Fausti, BA Qasmi - Journal of Futures Markets, 2012 - infona.pl
We propose a fear index for corn using the variance swap rate synthesized from out‐of‐the‐
money call and put options as a measure of implied variance. We find negative and time …
money call and put options as a measure of implied variance. We find negative and time …
[引用][C] Variance risk premiums and predictive power of alternative forward variances in the corn market
Z Wang, S Fausti, BA Qasmi - Journal of Futures Markets, 2012 - econpapers.repec.org
EconPapers: Variance risk premiums and predictive power of alternative forward variances in
the corn market EconPapers Economics at your fingertips EconPapers Home About …
the corn market EconPapers Economics at your fingertips EconPapers Home About …