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Search: subject:"Stochastic Volatility Risk Premium"
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Black-Scholes
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GMM Estimation
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Stochastic Volatility Risk Premium
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Bollerslev, Tim
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School of Economics and Management, University of Aarhus
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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
volatilities indicates significant temporal dependencies in the estimated
stochastic
volatility
risk
premium
, which we in turn …
Persistent link: https://www.econbiz.de/10005114112
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