Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 1, pp. 1141-1141
This paper considers the measurement of the equity risk premium in financial markets from a new perspective that picks up on a suggestion from Merton (1980) to use implied volatility of options on a market portfolio as a direct 'ex-ante' estimate for market variance, and hence the risk premium....
