Pricing the Unforeseeable: How Macro-Uncertainty Shocks Shape the S&P 500 Variance Risk Premium

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Keywords	VRP, Delta-hedged Returns, Put options, Macro-uncertainty, Implied-volatility, GARCH, EGARCH
Thesis Advisor	Cosemans, Mathijs, Gnabo, Jean Yves
Persistent URL	hdl.handle.net/2105/79678
Series	Finance & Investments
Organisation	Rotterdam School of Management
Citation APA APA Style APA-ALL Style AAA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	Halil, Dzhenk. (2025). Pricing the Unforeseeable: How Macro-Uncertainty Shocks Shape the S&P 500 Variance Risk Premium. In Finance & Investments.http://hdl.handle.net/2105/79678

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