The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium
Year of publication: |
2013
|
---|---|
Authors: | Ederington, Louis H. ; Guan, Wei |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 37.2013, 9, p. 3388-3400
|
Publisher: |
Elsevier |
Subject: | Implied volatility | Volatility smile | Variance risk premium | GARCH | Conditional heteroskedasticity |
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