Mohammad R. Jahan-Parvar - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T01:27:31+00:00Downside Variance Risk Premium
https://www.bankofcanada.ca/2015/10/working-paper-2015-36/
We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus undesirable risks.2015-10-22T10:52:04+00:00enDownside Variance Risk Premium2015-10-22Asset pricingWorking Paper 2015-36https://www.bankofcanada.ca/wp-content/uploads/2015/10/wp2015-36.pdfDownside Variance Risk PremiumBruno FeunouMohammad R. Jahan-ParvarCédric OkouOctober 2015GG1G12