The volatility index and volatility risk premium in China
Author:
Funder
University of Otago
Chongqing Municipal Education Commission
Chongqing Jiaotong University
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference73 articles.
1. Quantile regression analysis of the asymmetric return-volatility relation;Badshah;Journal of Futures Markets,2013
2. Delta-hedged gains and the negative market volatility risk premium;Bakshi;Review of Financial Studies,2003
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4. A theory of volatility spreads;Bakshi;Management Science,2006
5. Volatility spreads and expected stock returns;Bali;Management Science,2009
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1. Volatility risk premium, good volatility and bad volatility: Evidence from SSE 50 ETF options;The North American Journal of Economics and Finance;2024-09
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