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Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property

Sonnan Chen, Yuchi Gu
Year of publication:
2021
Authors: Chen, Sonnan ; Gu, Yuchi
Subject: Pricing kernel | Option market | Jump risk | State-dependent risk price | Volatilität | Volatility | Risikoprämie | Risk premium | Risiko | Risk | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Börsenkurs | Share price | CAPM | Optionsgeschäft | Option trading
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