Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (Q737279)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities |
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (English)
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10 August 2016
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stochastic volatility risk premium
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model-free implied volatility
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model-free realized volatility
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Black-Scholes
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GMM estimation
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return predictability
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