A non-linear dynamic model of the variance risk premium
Bjørn Eraker, Jiakou Wang
| Year of publication: |
August 2015
|
|---|---|
| Authors: | Eraker, Bjørn ; Wang, Jiakou |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 547-556
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| Subject: | VIX | Semi-nonparametric diffusion | VIX futures | GMM | MLE | Non-linear asset pricing | Risikoprämie | Risk premium | Theorie | Theory | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Börsenkurs | Share price | Momentenmethode | Method of moments | CAPM | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.02.038 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011499758