Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors (Q2224982)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors |
scientific article |
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Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors (English)
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4 February 2021
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factor asset pricing models
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volatility factors
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ARCH filters
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