Do hedge fund hedge? New evidence from volatility risk premia embedded in VIX options

Serge Darolles and Anmar Al Wakil
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Serge Darolles: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Anmar Al Wakil: DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique

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Date: 2018-03
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Published in 5th Empirical Finance Workshop, ESSEC Business School, Mar 2018, Cergy, France

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