Learning and forecasts about option returns through the volatility risk premium
type: Item
instance of: scholarly article
title: Learning and forecasts about option returns through the volatility risk premium
zbMATH Open document ID: 1401.91555
author: Alejandro Bernales
author: Louisa Chen
author: Marcela Valenzuela
publication date: 2018-08-09T00:00:00Z
full work available at URL: Bernales et al 2017.pdf
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6915655
zbMATH Keywords: option returns
zbMATH Keywords: volatility risk premium
zbMATH Keywords: Bayesian learning
zbMATH Keywords: predictability
zbMATH Keywords: dynamic equilibrium model
MaRDI profile type: Publication
OpenAlex ID: W2735619569
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DOI: 10.1016/J.JEDC.2017.06.007
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6915655