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Predicting the equity premium with the implied volatility spread

Charles Cao, Timothy T. Simin, Xiao Han
Year2020
VenueJournal of Financial Markets
Typearticle
Citations26
DOI10.1016/j.finmar.2019.100531
OpenAlexW2997956714

Topics

Financial Markets and Investment StrategiesVolatility (finance)Volatility risk premiumImplied volatilityEconomicsEconometrics