Yue Wu

University of Wisconsin - Madison - Department of Finance, Investment and Banking

975 University Avenue

Madison, WI 53706

United States

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

Explaining the Negative Returns to VIX Futures and ETNs: An Equilibrium Approach

Number of pages: 51 Posted: 15 Oct 2013 Last Revised: 03 Dec 2014
Bjorn Eraker and Yue Wu
University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Wisconsin - Madison - Department of Finance, Investment and Banking
Downloads 857 (26,827)
Citation 6

Abstract:

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VIX futures, volatility risk premium, present value CAPM, equilibrium, VIX ETNs, jump risk