Chen, Jian and Liu, Xiaoquan (2010) The model-free measures and the volatility spread. Applied Economics Letters, 17 (18). pp. 1829-1833. DOI https://doi.org/10.1080/13504850903357350
Chen, Jian and Liu, Xiaoquan (2010) The model-free measures and the volatility spread. Applied Economics Letters, 17 (18). pp. 1829-1833. DOI https://doi.org/10.1080/13504850903357350
Chen, Jian and Liu, Xiaoquan (2010) The model-free measures and the volatility spread. Applied Economics Letters, 17 (18). pp. 1829-1833. DOI https://doi.org/10.1080/13504850903357350
Abstract
In this article, we empirically investigate the relationship between realized and risk-neutral volatilities by applying the model-free measures to FTSE-100 index and index options from April 1992 to March 2005. Based on the deviation between the risk-neutral and the physical volatilities, we estimate the volatility spread through the Generalized Method of Moments (GMM) and reveal the volatility risk aversion.
| Item Type: | Article |
|---|---|
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Faculty of Social Sciences > Essex Business School |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 18 Dec 2012 14:38 |
| Last Modified: | 05 Dec 2024 11:33 |
| URI: | http://repository.essex.ac.uk/id/eprint/4784 |