Systematic risk and volatility skew
Year of publication: |
May 2016
|
---|---|
Authors: | Tzang, Shyh-Weir ; Wang, Chou-Wen ; Yu, Min-Teh |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 43.2016, p. 72-87
|
Subject: | Beta smile | CAPM | GARCH | Systematic risk proportion | Volatility skew | Theorie | Theory | Volatilität | Volatility | ARCH-Modell | ARCH model | Risiko | Risk | Betafaktor | Beta risk | Black-Scholes-Modell | Black-Scholes model | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
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