What does the volatility risk premium say about liquidity provision and demand for hedging tail risk?
Jianqing Fan, Michael B. Imerman, Wei Dai
| Year of publication: |
October 2016
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| Authors: | Fan, Jianqing ; Imerman, Michael B. ; Dai, Wei |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 34.2016, 4, p. 519-535
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| Subject: | Big Data risk analytics | Fourier transform | Integrated volatility | Microstructure noise | Tail risk | Ultra-high-frequency data | Volatility risk premium | Volatilität | Volatility | Risikoprämie | Risk premium | Hedging | Risikomanagement | Risk management | Big Data | Big data | Risiko | Risk | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2016.1152968 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011692397