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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.

Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Finance
Dewey Decimal Classification:330 Economics
Scope:Discipline-based scholarship (basic research)
Language:English
Date:2015
Deposited On:28 Jan 2014 16:54
Last Modified:27 May 2024 15:24
Series Name:Swiss Finance Institute Research Paper
OA Status:Green
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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