Open AccessDynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
Author(s) -
Tim Bollerslev,
Michael S. Gibson,
Hao Zhou
Publication year - 2004
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2004.56
Subject(s) - volatility risk premium , econometrics , stochastic volatility , volatility (finance) , implied volatility , economics , volatility risk , forward volatility , risk premium , variance risk premium , volatility smile , risk aversion (psychology) , realized variance , financial economics , expected utility hypothesis