The Term Structure of the Price of Variance Risk - FEDERAL RESERVE BANK of NEW YORK

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The Term Structure of the Price of Variance Risk

Marianne Andries, Thomas Eisenbach, Martin Schmalz,
and Yichuan Wang
Staff Reports, Number 736, August 2015

Author Disclosure Statements

Marianne Andries
The author declares that she has no relevant or material financial interests that relate to the research described in this paper.

Thomas Eisenbach
I am employed by the Federal Reserve Bank of New York. The views expressed in the article under submission reflect my views and the views of my co-authors, but do not necessarily represent the views of the Federal Reserve Bank of New York, Federal Reserve Board, or the Federal Reserve System.

I have not received outside financial support for the research in this article.

I have not received any fees or payments from any institutions that might be relevant to the content of the research under submission.

No close relative has received funding or financial support, or is an officer, director, or board member of any relevant organization.

The article was vetted prior to circulation outside the Federal Reserve Board and the Federal Reserve Bank of New York.

Martin Schmalz
The author Martin C. Schmalz declares that he has no relevant or material financial interests that relate to the research described in this paper.

Yichuan Wang
The author Yichuan Wang declares that he has no relevant or material financial interests that relate to the research described in this paper.

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