Realized GARCH, CBOE VIX, and the volatility risk premium
Peter Reinhard Hansen, Zhuo Huang, Chen Tong, and Tianyi Wang
| Year of publication: |
2024
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|---|---|
| Authors: | Hansen, Peter Reinhard ; Huang, Zhuo ; Tong, Chen ; Wang, Tianyi |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 22.2024, 1, p. 187-223
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| Subject: | high frequency data | realized GARCH | realized variance | volatility risk premium | VIX | Volatilität | Volatility | ARCH-Modell | ARCH model | Risikoprämie | Risk premium | Schätzung | Estimation | Optionsgeschäft | Option trading | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014526311