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  • Search: subject:"Model-Free Realized Volatility"
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Year of publication
Subject
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Black-Scholes 1 Börsenkurs 1 Forecasting model 1 GMM Estimation 1 India 1 Indien 1 Model-Free Implied Volatility 1 Model-Free Realized Volatility 1 Option trading 1 Optionsgeschäft 1 Prognoseverfahren 1 Return Predictability 1 Risikoprämie 1 Risk premium 1 Share price 1 Stochastic Volatility Risk Premium 1 Volatility 1 Volatilität 1 model-free implied volatility 1 model-free realized volatility 1
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Online availability
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Free 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Bollerslev, Tim 1 Garg, Sonia 1 Gibson, Michael 1 Vipul 1 Zhou, Hao 1
Institution
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School of Economics and Management, University of Aarhus 1
Published in...
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CREATES Research Papers 1 The journal of futures markets 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Volatility risk premium in Indian options prices
Garg, Sonia; Vipul - In: The journal of futures markets 35 (2015) 9, pp. 795-812
Persistent link: https://www.econbiz.de/10011392659
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Cover Image
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
Bollerslev, Tim; Gibson, Michael; Zhou, Hao - School of Economics and Management, University of Aarhus - 2007
This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte...
Persistent link: https://www.econbiz.de/10005114112
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