Highly Influenced

5 Excerpts

@inproceedings{AtSahalia2012TheTS, title={The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis}, author={Yacine A{\"i}t-Sahalia and Mustafa Karaman and Loriano Mancini}, year={2012} }

- Published 2012

We study the term structure of variance swaps, which are popular volatility derivative contracts. A model-free analysis reveals a significant jump risk component embedded in variance swaps. The variance risk premium is negative and has a downward sloping term structure. Variance risk premia due to negative jumps present similar features in quiet times but have an upward sloping term structure in turbulent times. This suggests that shortterm variance risk premia mainly reflect investors’ fear of… CONTINUE READING

SHOWING 1-4 OF 4 CITATIONS

Highly Influenced

5 Excerpts

Highly Influenced

18 Excerpts

Highly Influenced

14 Excerpts

2 Excerpts

SHOWING 1-10 OF 55 REFERENCES

Highly Influential

10 Excerpts

Highly Influential

6 Excerpts

Highly Influential

7 Excerpts

Highly Influential

4 Excerpts

Highly Influential

13 Excerpts

Highly Influential

4 Excerpts

Highly Influential

7 Excerpts

Highly Influential

7 Excerpts

Highly Influential

7 Excerpts

Highly Influential

5 Excerpts

Loading similar papers…