Uncovering a positive risk-return relation : the role of implied volatility index
Year of publication: |
2014
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Authors: | Kanas, Angelos |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 42.2014, 1, p. 159-170
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Subject: | S&P 100 | Implied volatility index | GARCH-M | Risk-return relation | Volatilität | Volatility | Kapitaleinkommen | Capital income | Risiko | Risk |
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