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~person:"Ederington, Louis H."
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Ederington, Louis H.
Mizrach, Bruce
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Siddiqi, Hammad
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Aboura, Sofiane
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The cross-sectional relation between conditional heteroskedasticity, the implied
volatility
smile
, and the variance risk premium
Ederington, Louis H.
;
Guan, Wei
- In:
Journal of banking & finance
37
(
2013
)
9
,
pp. 3388-3400
Persistent link: https://www.econbiz.de/10010126417
Saved in:
2
The cross-sectional relation between conditional heteroskedasticity, the implied
volatility
smile
, and the variance risk premium
Ederington, Louis H.
;
Guan, Wei
- In:
Journal of Banking & Finance
37
(
2013
)
9
,
pp. 3388-3400
This paper estimates how the shape of the implied
volatility
smile
and the size of the variance risk premium relate to …
Persistent link: https://www.econbiz.de/10010682608
Saved in:
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