Volatility-of-volatility and tail risk hedging returns
Yang-Ho Park (Risk Analysis Section, Board of Governors of the Federal Reserve System, Washington, DC, United States)
| Year of publication: |
November 2015
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|---|---|
| Authors: | Park, Yang-Ho |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 26.2015, p. 38-63
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| Subject: | VVIX | Tail risk | Rare disaster | Model uncertainty | Option returns | VIX options | Volatilität | Volatility | Hedging | Kapitaleinkommen | Capital income | Risiko | Risk | Optionsgeschäft | Option trading | Finanzkrise | Financial crisis | Optionspreistheorie | Option pricing theory | Risikoprämie | Risk premium | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.finmar.2015.05.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011477272