Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Year of publication: |
2019
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Authors: | Bardgett, Chris ; Gourier, Elise ; Leippold, Markus |
Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 131.2019, 3, p. 593-618
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Subject: | S&P 500 and VIX joint modeling | Volatility dynamics | Particle filter | Variance risk premium | Volatilität | Volatility | Risikoprämie | Risk premium | Schätzung | Estimation | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Großbritannien | United Kingdom | Börsenkurs | Share price |
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