Conference Paper

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


Keywords: Risk management;

Status: Published in Financial market risk premiums: time variation and macroeconomic links (Federal Reserve Board, Washington, D.C., July 21-22, 2005)

Access Documents

Authors

Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: Proceedings

Publication Date: 2005