Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors
Work
Year: 2020
Type: article
Source: Journal of Econometrics
Authors Elena Andreou, Éric Ghysels
Institutions University of Cyprus, Centre for Economic Policy Research, University of North Carolina at Chapel Hill
Cites: 72
Cited by: 19
Related to: 10
FWCI: 3.265
Citation percentile (by year/subfield): 91.52
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goals Industry, innovation and infrastructure, Partnerships for the goals
Open Access status: closed
Funders Marie Curie, Research Promotion Foundation, European Research Council, European Regional Development Fund
Grant IDS FP7-PEOPLE-2010-IIF, , 209116, EXCELLENCE/1216/0074