Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

DOI10.1016/j.jeconom.2010.03.033zbMath1441.62258MaRDI QIDQ737279

D. Kharzeev

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.federalreserve.gov/pubs/feds/2004/200456/200456pap.pdf

zbMATH Keywords

Black-Scholes; return predictability; GMM estimation; model-free implied volatility; model-free realized volatility; stochastic volatility risk premium

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures