Variance Risk Premia
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- Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011.
"Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities,"
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- Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
- Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2008.
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- Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
Stochastic volatility; variance risk premia; variance swap; volatility swap; option pricing; expectation hypothesis;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2004-09-12 (Corporate Finance)
- NEP-FIN-2004-09-12 (Finance)
- NEP-FMK-2004-09-12 (Financial Markets)
- NEP-RMG-2004-09-12 (Risk Management)
Statistics
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