Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - 2004
, several studies have argued for the use
of so-called \model-free realized volatilities" computed by summing squared returns … Bliss,
1987; Cochrane and Piazzesi, 2004). However, studies of the links between the volatility risk premium and … constant volatility risk premium parameter implies a
constant coe cient of relative risk aversion, which many other studies …