Zobrazeno 1 - 4
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pro vyhledávání: '"Huang, Darien"'
Publikováno v:
The Journal of Financial and Quantitative Analysis, 2019 Dec 01. 54(6), 2423-2452.
Externí odkaz:
https://www.jstor.org/stable/26844411
Autor:
Huang, Darien, Kilic, Mete
Publikováno v:
In Journal of Financial Economics June 2019 132(3):50-75
We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility measures, iden
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::8ffe45e4ca1d8488f6625dcf0e902a94
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/46676
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/46676
Publikováno v:
Chinese Economy (9781137034281); 2012, p199-228, 30p