Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Chris Bardgett, Elise Gourier, Markus Leippold
| 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 | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Theorie | Theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012133017