Open AccessVolpocalypse Now
Author(s) -
Lewis Alan L.
Publication year - 2020
Publication title -
wilmott
Language(s) - English
Resource type - Journals
eISSN - 1541-8286
pISSN - 1540-6962
DOI - 10.1002/wilm.10856
Subject(s) - equity (law) , publication , financial economics , actuarial science , economics , autoregressive conditional heteroskedasticity , business , political science , law , advertising , volatility (finance)
Last year Alan Lewis published a paper, Option‐based Equity Premiums , proposing that GARCH approaches to equity risk premiums be abandoned and work on the problem could be done more effectively free of models. Tragically, in the early months of 2020, the markets presented an ideal opportunity to apply the approach of the 2019 paper. In this issue we publish Alan's findings on US Equity Premiums during the COVID‐19 Pandemic. Dan Tudball speaks to the author.