Variance Risk Premia

Published: 16-07-2019| Version 1 | DOI: 10.17632/f5wv28b6gs.1
Athanasios P. Fassas


This dataset includes the 29 Variance Risk Premia (VRP) used in "Fassas, A. P., & Papadamou, S. (2018). Variance risk premium and equity returns. Research in International Business and Finance, 46, 462-470." We define VRP as the difference between the ex-post realized return variation and the ex-ante risk-neutral expectation of the future return variation.