The VIX, the Variance Premium and Stock Market Volatility
收藏NBER2013-04-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w18995
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资源简介：
We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. The latter is increasing in risk aversion in a wide variety of economic settings. We tackle several measurement issues assessing a plethora of
提供机构：
美国国家经济研究局
创建时间：
2013-04-01
