Learning and forecasts about option returns through the volatility risk premium
Alejandro Bernales, Louisa Chen, Marcela Valenzuela
| Year of publication: |
September 2017
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|---|---|
| Authors: | Bernales, Alejandro ; Chen, Louisa ; Valenzuela, Marcela |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 82.2017, p. 312-330
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| Subject: | Option returns | Volatility risk premium | Bayesian learning | Predictability | Dynamic equilibrium model | Volatilität | Volatility | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Lernprozess | Learning process | Dynamisches Gleichgewicht | Dynamic equilibrium | Prognose | Forecast | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2017.06.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011915574