The high frequency risk attitude implied by the volatility risk premium

DOI10.1016/J.ECONLET.2021.110048zbMath1471.91556OpenAlexW3195024736MaRDI QIDQ1984463

Yanyan Li

Publication date: 16 September 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110048

zbMATH Keywords

risk attitudevolatilityvolatility risk premiuminformation separation

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

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