Description Usage Arguments Value References
Given the parameters and initial values, this function produces the term structure of the integrated variance risk premium. Definition of IVRP as in reference below. This function treats the case of no volatility jumps if control$use.CIR = TRUE
.
1 2 | integrVarRP(params.structure, v.0 = NULL, tT = c(0, 1),
grid.d = 1000, N.factors = 3)
|
params.structure |
a named list of named lists that describe the |
v.0 |
initial condition for |
tT |
vector of length at least 2, start- and end-point of calculation. If the vector is lonver, the VRP will be returned at the intermediate values as well. Otherwise, the output values are determined via |
grid.d |
determines the number of intervals into which the |
Returns a list with fields tot
, cont
and jmp
, referring to, respectively, the total risk premium, its continuous and discontinuous parts.
Ait-Sahalia, Y. and Karaman, M., and Mancini, L., “The Term Structure of Variance Risk Premia and the Expectation Hypothesis”
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