The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium
Year of publication: |
2012
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Authors: | Gospodinov, Nikolaj ; Jamali, Ibrahim |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 19.2012, 4, p. 497-510
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Subject: | Implied volatility | Realized volatility | Federal funds futures | Monetary policy surprises | Volatility risk premium | Volatilität | Volatility | Risikoprämie | Risk premium | Geldpolitik | Monetary policy | Geldmarkt | Money market | Zinsstruktur | Yield curve | Schock | Shock | ARCH-Modell | ARCH model |
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