The model-free measures and the volatility spread
In this article, we empirically investigate the relationship between realized and risk-neutral volatilities by applying the model-free measures to FTSE-100 index and index options from April 1992 to March 2005. Based on the deviation between the risk-neutral and the physical volatilities, we estimate the volatility spread through the Generalized Method of Moments (GMM) and reveal the volatility risk aversion.
Year of publication: |
2010
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Authors: | Chen, Jian ; Liu, Xiaoquan |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 17.2010, 18, p. 1829-1833
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Publisher: |
Taylor & Francis Journals |
Saved in:
freely available
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