Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
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Publication:2224982
DOI10.1016/j.jeconom.2020.04.006zbMath1464.62414OpenAlexW3022449092MaRDI QIDQ2224982
Publication date: 4 February 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.04.006
Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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