Blar i NTNU Open på forfatter "Øverås, Roar"
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Variance Risk Premiums on the S&P 500, Nasdaq 100, Euro Stoxx 50, FTSE 100, SMI, DAX and the United States Oil Fund
Øverås, Roar (Master thesis, 2011)In this thesis I investigate the variance risk premiums, defined as the difference between the markets implied variance and subsequent realised variance, in equity index and oil futures markets. I describe how the square ...