Projects funded by the NCN
Variance Risk Premium: Insights from Short-Term Options, Cross-Sectional Analysis, and Driving Factors
2023/51/I/HS4/00787
Keywords:
Variance risk premium short-term options realized volatility implied volatility market sentiment cross-sectional analysis financial market dynamics machine learning
Descriptors:
- HS4_6: Financial markets, international finance, public finance
Panel:
HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies
Host institution :
Uniwersytet Mikołaja Kopernika w Toruniu, Wydział Nauk Ekonomicznych i Zarządzania
woj.
Principal investigator (from the host institution):
Number of co-investigators in the project: 4
Call: OPUS 26 (LAP) - announced on 2023-09-18
Amount awarded: 373 930 PLN
Project start date (Y-m-d): 2025-01-02
Project end date (Y-m-d): 2028-01-01
Project duration:: 36 months (the same as in the proposal)
Project status: Pending project
Project description
Download the project description in a pdf file
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