Bhar, Ramaprasad; Chiarella, Carl; Runggaldier, Wolfgang J. - In: Studies in Nonlinear Dynamics & Econometrics 8 (2004) 1
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...