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Variance risk premia under volatility models

Chuan-Hsiang Han & Kai Wang

Review of Quantitative Finance and Accounting2026https://doi.org/10.1007/s11156-026-01510-zarticle
AJG 3ABDC B
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0.50

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https://doi.org/https://doi.org/10.1007/s11156-026-01510-z

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@article{chuan-hsiang2026,
  title        = {{Variance risk premia under volatility models}},
  author       = {Chuan-Hsiang Han & Kai Wang},
  journal      = {Review of Quantitative Finance and Accounting},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1007/s11156-026-01510-z},
}

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Variance risk premia under volatility models

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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