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

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • T. Bollerslev
  • Michael Gibson, Mail Stop 91, United States
  • Hao Zhou, Mail Stop 91, United States
Original languageEnglish
JournalJournal of Econometrics
Volume160
Issue1
Pages (from-to)235-245
Number of pages11
ISSN0304-4076
DOIs
Publication statusPublished - 2011

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