Empirical pricing kernel and option-implied risk aversion in China 50 ETF
Year of publication: |
2022
|
---|---|
Authors: | Sung, Hao-Chang ; Shi, Lisi |
Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 58.2022, 15, p. 4286-4299
|
Subject: | MSGARCH | option on the China 50 ETF | Option-implied risk aversion | Pricing kernel | pricing kernel puzzle | China | Risikoaversion | Risk aversion | Anlageverhalten | Behavioural finance | Optionspreistheorie | Option pricing theory | Indexderivat | Index derivative | Black-Scholes-Modell | Black-Scholes model | Schätzung | Estimation |
-
Volatility and the pricing kernel
Schreindorfer, David, (2022)
-
Uncovering the distribution of option implied risk aversion
Kyriacou, Maria, (2019)
-
Does the pricing kernel anomaly reflect forward looking beliefs?
Sala, Carlo, (2015)
- More ...
-
Asset bubbles in an overlapping generations model with endogenous labor supply
Shi, Lisi, (2014)
-
The macroeconomic consequences of asset bubbles and crashes
Shi, Lisi, (2014)
-
Asset bubbles in an overlapping generations model with indogenous labor supply
Shi, Lisi, (2014)
- More ...