The high frequency risk attitude implied by the volatility risk premium
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DOI: 10.1016/j.econlet.2021.110048
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More about this item
Keywords
Volatility; Volatility risk premium; Risk attitude; Information separation;All these keywords.
JEL classification:
- D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
Statistics
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