Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Elena Andreou, Eric Ghysels
| Year of publication: |
2021
|
|---|---|
| Authors: | Andreou, Elena ; Ghysels, Eric |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 220.2021, 2, p. 366-398
|
| Subject: | ARCH filters | Factor asset pricing models | Volatility Factors | Volatilität | Volatility | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | CAPM | Schätzung | Estimation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.04.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012618520