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The VIX, the variance premium and stock market volatility

2014787 citationsJournal Article

Authors

Marie Hoerova · European Central Bank

Topics & Keywords

Financial Markets and Investment Strategies Market Dynamics and Volatility Financial Risk and Volatility Modeling

Publication Details

Published in: Journal of Econometrics

Volume 183, Issue 2, pp. 181-192

DOI: 10.1016/j.jeconom.2014.05.008

Field-Weighted Citation Impact: 53.74

The VIX, the variance premium and stock market volatility | Researchclopedia