Essays about: "Fredrik Iversen"

Found 1 essay containing the words Fredrik Iversen.

  1. 1. The Dynamics of the Variance Risk Premium: Refining Volatility Forecasts and Portfolio Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Fredrik Iversen; Andreas Rueckert; [2014]
    Keywords : Volatility forecasting; Variance risk premium; Implied Volatility; Realized Kernel;

    Abstract : In this paper, we investigate the dynamics of the variance risk premium and whether it can be used to achieve incremental predictability of future volatility on the S&P 500 index. Previous studies have focused on the usefulness of implied volatility in volatility forecasting. READ MORE