Gabriele Zinna
Biographic Data
| ID | 8920838 |
|---|---|
| NAME | Gabriele Zinna |
| GIVEN NAMES | Gabriele |
| FAMILY NAME | Zinna |
| SIGNATURE | ZINNA G |
| AFFILIATIONS | Bank of Italy, Rome, Italy () |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 1 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2018 |
| LATEST PUBLICATION YEAR | 2018 |
| H-INDEX | 0 |
The Variance Risk Premium
This article examines the properties of the variance risk premium (VRP). We propose a flexible asset pricing model that captures co-jumps in prices and volatility, and self-exciting jump clustering. We estimate the model on equity returns and variance swap rates at different horizons. The total VRP is negative and has a downward-sloping term structure, while its jump component displays an upward-sloping term structure. The abrupt and persistent r…
No prominent works on this page.
The Variance Risk Premium
This article examines the properties of the variance risk premium (VRP). We propose a flexible asset pricing model that captures co-jumps in prices and volatility, and self-exciting jump clustering. We estimate the model on equity returns and variance swap rates at different horizons. The total VRP is negative and has a downward-sloping term structure, while its jump component displays an upward-sloping term structure. The abrupt and persistent r…
Capital asset pricing model (1 work) · Econometrics (1 work) · Economics (1 work) · Equity premium puzzle (1 work) · Financial economics (1 work) · Financial Markets and Investment Strategies (1 work) · Financial Risk and Volatility Modeling (1 work) · Geography (1 work) · Implied volatility (1 work) · Jump (1 work)