The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium
Year of publication: |
2013
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Authors: | Ederington, Louis H. ; Guan, Wei |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 9, p. 3388-3400
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Subject: | Implied volatility | Volatility smile | Variance risk premium | GARCH | Conditional heteroskedasticity | Volatilität | Volatility | Risikoprämie | Risk premium | ARCH-Modell | ARCH model | Heteroskedastizität | Heteroscedasticity | Schätzung | Estimation | Optionspreistheorie | Option pricing theory | Wechselkurs | Exchange rate |
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