Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Tim Bollerslev; Michael Gibson; Hao Zhou
| Year of publication: |
2010
|
|---|---|
| Authors: | Bollerslev, Tim ; Gibson, Michael S. ; Zhou, Hao |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 160.2011, 1, p. 235-245
|
| Subject: | Risikoprämie | Risk premium | Risikoaversion | Risk aversion | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Black-Scholes-Modell | Black-Scholes model | Experiment | USA | United States | Momentenmethode | Method of moments |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009242522