Jump and volatility risk premiums implied by VIX

10.1016/j.jedc.2010.05.006

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Bibliographic Details
Main Authors:	Duan, J.-C., Yeh, C.-Y.
Other Authors:	FINANCE
Format:	Article
Published:	2013
Subjects:	Constant elasticity of variance Jump Model-free volatility Options Stochastic volatility VIX
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/44422
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-44422
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spelling	sg-nus-scholar.10635-444222024-04-04T00:33:21Z Jump and volatility risk premiums implied by VIX Duan, J.-C. Yeh, C.-Y. FINANCE Constant elasticity of variance Jump Model-free volatility Options Stochastic volatility VIX 10.1016/j.jedc.2010.05.006 Journal of Economic Dynamics and Control 34 11 2232-2244 JEDCD 2013-10-09T08:06:01Z 2013-10-09T08:06:01Z 2010 Article Duan, J.-C., Yeh, C.-Y. (2010). Jump and volatility risk premiums implied by VIX. Journal of Economic Dynamics and Control 34 (11) : 2232-2244. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jedc.2010.05.006 01651889 http://scholarbank.nus.edu.sg/handle/10635/44422 000284138600002 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Constant elasticity of variance Jump Model-free volatility Options Stochastic volatility VIX
spellingShingle	Constant elasticity of variance Jump Model-free volatility Options Stochastic volatility VIX Duan, J.-C. Yeh, C.-Y. Jump and volatility risk premiums implied by VIX
description	10.1016/j.jedc.2010.05.006
author2	FINANCE
author_facet	FINANCE Duan, J.-C. Yeh, C.-Y.
format	Article
author	Duan, J.-C. Yeh, C.-Y.
author_sort	Duan, J.-C.
title	Jump and volatility risk premiums implied by VIX
title_short	Jump and volatility risk premiums implied by VIX
title_full	Jump and volatility risk premiums implied by VIX
title_fullStr	Jump and volatility risk premiums implied by VIX
title_full_unstemmed	Jump and volatility risk premiums implied by VIX
title_sort	jump and volatility risk premiums implied by vix
publishDate	2013
url	http://scholarbank.nus.edu.sg/handle/10635/44422
_version_	1795373765579767808

Jump and volatility risk premiums implied by VIX

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