The VIX, the Variance Premium and Stock Market Volatility
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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
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美国国家经济研究局创建时间：
2013-04-01
