Now showing items 1-2 of 2

    • The cross-sectional variation of volatility risk premia 

      González Urteaga, Ana Upna; Rubio, Gonzalo (Elsevier, 2016)   Artículo / Artikulua  OpenAccess
      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 ...
    • The joint cross-sectional variation of equity returns and volatilities 

      González Urteaga, Ana Upna; Rubio, Gonzalo (Elsevier, 2017)   Artículo / Artikulua  OpenAccess
      This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the ...