Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - 2004
, Washington, D.C.
Dynamic Estimation of Volatility Risk Premia and Investor
Risk Aversion from Option … character
of these papers.
Dynamic Estimation of Volatility Risk
Premia and Investor Risk Aversion from
Option-Implied and … proposes a method for constructing a volatility risk premium, or investor
risk aversion, index. The method is intuitive and …