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Variance swap payoffs, risk premia and extreme market conditions

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https://hal.archives-ouvertes.fr/hal-03490098
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Submitted on : Thursday, July 21, 2022 - 11:11:29 AM
Last modification on : Friday, August 5, 2022 - 2:49:41 PM

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Jeroen V.K. Rombouts, Lars Stentoft, Francesco Violante. Variance swap payoffs, risk premia and extreme market conditions. Econometrics and Statistics , Elsevier, 2020, 13, pp.106 - 124. ⟨10.1016/j.ecosta.2019.05.003⟩. ⟨hal-03490098⟩

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