Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10009406434
Persistent link: https://www.econbiz.de/10003826928
"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
Persistent link: https://www.econbiz.de/10002368551
Persistent link: https://www.econbiz.de/10001637889
Persistent link: https://www.econbiz.de/10001787397