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~accessRights:"free"
~person:"Bollerslev, Tim"
~subject:"Model-Free Implied Volatility"
~subject:"Stochastic Volatility Risk Premium"
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Model-Free Implied Volatility
Stochastic Volatility Risk Premium
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Bollerslev, Tim
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Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
Bollerslev, Tim
;
Gibson, Michael
;
Zhou, Hao
-
School of Economics and Management, University of Aarhus
-
2007
option-
implied
volatility
measures. A small-scale Monte Carlo experiment confirms that the procedure works well in practice …
Persistent link: https://www.econbiz.de/10005114112
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