Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors (Q2224982)
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scientific article; zbMATH DE number 7306279
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| English | Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors |
scientific article; zbMATH DE number 7306279 |
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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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0.7813923358917236
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0.7462674379348755
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0.7301123738288879
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0.7257737517356873
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0.7202420234680176
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