Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors

Published 2020 View Full Article

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Title
Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors
Authors
Keywords
Factor asset pricing models, Volatility Factors, ARCH filters
Journal
JOURNAL OF ECONOMETRICS
Volume -, Issue -, Pages -
Publisher
Elsevier BV
Online
2020-04-30
DOI
10.1016/j.jeconom.2020.04.006

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