Asymmetric information of variance risk premium in the Chinese market: upside and downside volatility spillovers
Abstract We investigate the degree of asymmetry in the variance risk premium (VRP) using SSE 50 ETF options in the Chinese market. Our approach decomposes the VRP into upside and downside components and quantifies the dynamic spillover asymmetry measure (SAM). This innovative methodology enables us...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer
2025-06-01
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| Series: | Management System Engineering |
| Subjects: | |
| Online Access: | https://doi.org/10.1007/s44176-025-00044-3 |
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