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 |
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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 |