Work

Jump and volatility risk premiums implied by VIX

Year: 2010

Type: article

Source: Journal of Economic Dynamics and Control

DOI: 10.1016/j.jedc.2010.05.006

Authors: Jin-Chuan Duan, Chung-Ying Yeh

Institutions: National University of Singapore, Risk Management Institute, Tunghai University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2033339659

FWCI: 18.32

Cites: 28

Cited by: 140

Related to: 10