The variation in variance risk premium and its predictive power : evidence from option market sentiments
Year of publication: |
2020
|
---|---|
Authors: | Chung, Y. Peter ; Yoon, Sun-Joong |
Published in: |
The quarterly journal of finance. - Singapore : World Scientific Publ., ISSN 2010-1392, ZDB-ID 2620599-3. - Vol. 10.2020, 3, p. 1-46
|
Subject: | investor sentiment | KOSPI | S&P 500 | TAIEX | Variance risk premium | Variance Sentiment Index | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Anlageverhalten | Behavioural finance | Börsenkurs | Share price | Volatilität | Volatility |
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