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Improving grid-based methods for estimating value at risk of fixed-income portfolios

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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 - Federal Reserve Board (Board of Governors of the … - 2004

This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte...

Persistent link: https://www.econbiz.de/10005721244

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

Zhou, Hao; Bollerslev, Tim; Gibson, Michael - In: Proceedings (2005)

Persistent link: https://www.econbiz.de/10004998126

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

Persistent link: https://www.econbiz.de/10005114112

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

Bollerslev, Tim (contributor); … - 2004

"This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte...

Persistent link: https://www.econbiz.de/10002365255