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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets


Bardgett, Chris; Gourier, Elise; Leippold, Markus (2015). Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. Swiss Finance Institute Research Paper 13-40, University of Zurich.

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Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:2015
Deposited On:28 Jan 2014 16:54
Last Modified:08 Dec 2017 03:11
Series Name:Swiss Finance Institute Research Paper
Free access at:Official URL. An embargo period may apply.
Official URL:http://www.elisegourier.com/uploads/3/7/9/6/37964671/bardgett_gourier_leippold_vix_paper.pdf
Other Identification Number:merlin-id:8838

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