Analyzing the variance risk premium: empirical evidence from financial markets
Lanfrancotti, Lorenzo (A.A. 2023/2024) Analyzing the variance risk premium: empirical evidence from financial markets. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 48. [Master's Degree Thesis]
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Abstract/Index
Variance risk premium construction. Derivation of VRP. Implied variance. Realized variance. Dataset. Econometric models. Autoregressive model of order p-AR(p). HAR-RV. Tests. Empirical analysis. Time series analysis. In sample analysis. Out of sample analysis.
References
Bibliografia: pp. 44-46.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Barone, Emilio |
| Academic Year: | 2023/2024 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 03 Jul 2025 10:26 |
| Last Modified: | 03 Jul 2025 10:26 |
| URI: | https://tesi.luiss.it/id/eprint/42739 |
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