A non-linear dynamic model of the variance risk premium (Q2347731)
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scientific article; zbMATH DE number 6443581
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A non-linear dynamic model of the variance risk premium |
scientific article; zbMATH DE number 6443581 |
Statements
A non-linear dynamic model of the variance risk premium (English)
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8 June 2015
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VIX
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semi-nonparametric diffusion
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VIX futures
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GMM
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MLE
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nonlinear asset pricing
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0.92293483
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0.9167657
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0.90165496
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0.8840929
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0.8750546
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0.8728622
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