Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
type: Item
instance of: scholarly article
title: Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
zbMATH Open document ID: 1441.62258
author: D. Kharzeev
published in: Journal of Econometrics
publication date: 2016-08-10T00:00:00Z
full work available at URL: 200456pap.pdf
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6610575
zbMATH Keywords: stochastic volatility risk premium
zbMATH Keywords: model-free implied volatility
zbMATH Keywords: model-free realized volatility
zbMATH Keywords: Black-Scholes
zbMATH Keywords: GMM estimation
zbMATH Keywords: return predictability
MaRDI profile type: Publication
OpenAlex ID: W2131938998
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DOI: 10.1016/J.JECONOM.2010.03.033
description: scientific article; zbMATH DE number 6610575