Variance Risk Premia
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.