Volatility-of-volatility risk in asset pricing
Year of publication: |
2022
|
---|---|
Authors: | Chen, Te-Feng ; Chordia, Tarun ; Chung, San-Lin ; Lin, Ji-chai |
Published in: |
Review of asset pricing studies : RAPS. - Oxford : Oxford Univ. Press, ISSN 2045-9939, ZDB-ID 2600932-8. - Vol. 12.2022, 1, p. 289-335
|
Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Allgemeines Gleichgewicht | General equilibrium |
-
Menzly, Lior, (2004)
-
Incomplete financial markets and jumps in asset prices
Crès, Hervé, (2009)
-
Stochastic volatility in general equilibrium
Tauchen, George Eugene, (2011)
- More ...
-
Volatility-of-Volatility Risk in Asset Pricing
Chen, Te-Feng, (2021)
-
Option-implied equity risk and the cross section of stock returns
Chen, Te-Feng, (2016)
-
Option-Implied Equity Risk and the Cross-Section of Stock Returns
Chen, Te-Feng, (2016)
- More ...