Realized GARCH, CBOE VIX, and the Volatility Risk Premium
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- Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang, 2024. "Realized GARCH, CBOE VIX, and the Volatility Risk Premium," Journal of Financial Econometrics, Oxford University Press, vol. 22(1), pages 187-223.
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Cited by:
- Wu, Xinyu & Zhao, An & Liu, Li, 2023. "Forecasting VIX using two-component realized EGARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
- Tong, Chen, 2024. "Pricing CBOE VIX in non-affine GARCH models with variance risk premium," Finance Research Letters, Elsevier, vol. 62(PA).
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JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
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This paper has been announced in the following NEP Reports:- NEP-ECM-2022-01-03 (Econometrics)
- NEP-ETS-2022-01-03 (Econometric Time Series)
- NEP-FMK-2022-01-03 (Financial Markets)
- NEP-ORE-2022-01-03 (Operations Research)
- NEP-RMG-2022-01-03 (Risk Management)
- NEP-UPT-2022-01-03 (Utility Models and Prospect Theory)
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