González Urteaga, Ana

Profile Picture

Email Address

person.page.identifierURI

https://academica-e.unavarra.es/handle/2454/49191

Birth Date

Job Title

Last Name

González Urteaga

First Name

Ana

person.page.departamento

Gestión de Empresas

person.page.instituteName

INARBE. Institute for Advanced Research in Business and Economics

ORCID

0000-0002-8256-8518

person.page.observainves

88772

person.page.upna

810168

Name

Filters

20161
Reset filters

Settings

Has files: true × Subject: Consumption-based models ×

Search Results

Now showing 1 - 1 of 1
  • Thumbnail Image
    PublicationOpen Access
    The cross-sectional variation of volatility risk premia
    (Elsevier, 2016) González Urteaga, Ana; Rubio Irigoyen, Gonzalo; Gestión de Empresas; Enpresen Kudeaketa
    This paper analyzes the determinants of the cross-sectional variation of the average volatility risk premia for a representative set of portfolios sorted by volatility risk premium beta. The market volatility risk premium and, especially, the default premium are shown to be key risk factors in the cross-sectional variation of average volatility risk premium payoffs. The cross-sectional variation of risk premia seems to reflect a very different behavior of the underlying components of our sample portfolios with respect to credit or financial stress that generates a significant dispersion of the volatility swap pricing of these securities.