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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 - 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...
Persistent link: https://www.econbiz.de/10008866492
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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
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Standing charge rebates Costs and benefits
Gibson, Michael; Price, Catherine - In: Energy Policy 14 (1986) 3, pp. 262-271
Persistent link: https://www.econbiz.de/10005107880
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A study of retail trade patterns in the East Midlands
Gibson, Michael; Pullen, Michael - 1971
Persistent link: https://www.econbiz.de/10002411999
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Elasticity, slope and tax incidence; two comments
Jones, Silvan; Gibson, Michael - In: Economics : the journal of the Economics Association 8 (1969) 2, pp. 72-75
Persistent link: https://www.econbiz.de/10003166668
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STRESS TESTING TAKES THE STRAIN - How many banks use stress tests, what do they use them for and how useful do risk managers really think they are? The authors explain the results...
Fender, Ingo; Gibson, Michael - In: Risk : managing risk in the world's financial markets 14 (2001) 5, pp. 50-52
Persistent link: https://www.econbiz.de/10007042821
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The Repository-Encyclopedia: Essential To Information Engineering and Fully Integrated CASE
McGaughey, Ronald E.; Gibson, Michael - In: Journal of systems management 44 (1993) 3, pp. 8-11
Persistent link: https://www.econbiz.de/10006745792
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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 - In: Journal of econometrics 160 (2011) 1, pp. 235-246
Persistent link: https://www.econbiz.de/10008770541
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Implementation of Title VII of the Dodd-Frank Act: testimony before the Committee on Agriculture, Nutrition, and Forestry, U.S. Senate, June 15, 2011.
Gibson, Michael S. - Federal Reserve Board (Board of Governors of the … - 2011
Persistent link: https://www.econbiz.de/10008872055
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Implementation of Title VII of the Dodd-Frank Act: testimony before the Committee on Agriculture, Nutrition, and Forestry, U.S. Senate, June 15, 2011.
Gibson, Michael S. - Federal Reserve Board (Board of Governors of the … - 2011
Persistent link: https://www.econbiz.de/10010727488