Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
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DOI: 10.1016/j.jfineco.2018.09.008
Abstract: This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying… read more here.
Keywords: 500 vix; volatility; vix markets; risk premia ... See more keywords