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

Tim Bollerslev, Michael S. Gibson and Hao Zhou
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Michael S. Gibson: https://www.federalreserve.gov/econres/michael-s-gibson.htm

Proceedings, 2005

Keywords: Risk; management (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2011)
Working Paper: Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities (2007)
Working Paper: Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (2004)
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