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  • Search: subject:"volatility risk price"
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Year of publication
Subject
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Estimation 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Risiko 1 Risikoprämie 1 Risk 1 Risk premium 1 Schätzung 1 Stochastic process 1 Stochastischer Prozess 1 Volatility 1 Volatilität 1 leverage effect 1 nonparametric identification 1 stochastic volatility 1 volatility factor 1 volatility risk price 1 weak identification 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1
Author
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Cheng, Xu 1 Renault, Eric 1 Sangrey, Paul 1
Published in...
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Working papers / Penn Institute for Economic Research 1
Source
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ECONIS (ZBW) 1
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Identifying the volatility risk price through the leverage effect
Cheng, Xu; Renault, Eric; Sangrey, Paul - 2024 - This version: April 23, 2024
Persistent link: https://www.econbiz.de/10014580927
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