Skip to main content

How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns

Event information
Date 19 March 2014
Time 13:00-14:00 BST
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

Prior to her current position, she was a PhD in Finance student at the University of Piraeus. Her research interests lie in the areas of volatility derivatives markets, implied volatility spillovers and variance risk premia. Her works have been published in the Journal of Banking and Finance and the International Journal of Forecasting.