Bollerslev, Tim; Gibson, Michael; Zhou, Hao - In: Journal of Econometrics 160 (2011) 1, pp. 235-245
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...