| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5083906 | International Review of Economics & Finance | 2012 | 12 Pages |
Abstract
⺠Use a multi-factor model to verify the macro-factors of the price of volatility risk. ⺠The results point out the presence of a negative risk premium of equity options. ⺠Both idiosyncratic volatility and macro-factor volatilities are priced. ⺠Macro-factors include index of industrial production and unanticipated inflation.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Bing-Huei Lin, Yueh-Neng Lin, Yin-Jung Chen,