The VIX, the variance premium and stock market volatility
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Publication:473230
DOI10.1016/j.jeconom.2014.05.008zbMath1312.91091OpenAlexW3122758356MaRDI QIDQ473230
Publication date: 24 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w18995.pdf
risk aversionrealized volatilityfinancial instabilityVIXstock return predictabilityvariance risk premiumeconomic uncertaintyoption implied volatilityrisk-return trade-off
Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)
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Uses Software
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