Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Author:

Bardgett Chris,Gourier Elise,Leippold Markus

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference65 articles.

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4. Range-based estimation of stochastic volatility models;Alizadeh;J. Financ.,2002

5. The Term Structure Of Variance Risk Premia;Amengual,2008

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