Identifying the volatility risk price through the leverage effect

Xu Cheng, Eric Renault, Paul Sangrey

Year of publication:	April 23, 2024 ; This version: April 23, 2024
Authors:	Cheng, Xu ; Renault, Eric ; Sangrey, Paul
Publisher:	Philadelphia, PA : Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
Subject:	leverage effect \| nonparametric identification \| stochastic volatility \| volatility factor \| volatility risk price \| weak identification \| Volatilität \| Volatility \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Stochastischer Prozess \| Stochastic process \| Risikoprämie \| Risk premium \| Schätzung \| Estimation \| Risiko \| Risk

freely available

Full text |

More access options

economics.sas.upenn.edu

Check Google Scholar

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10014580927

A service of the