Can I read Model-Free Volatility Term Structure Analysis on EtoBox?

Model-Free Volatility Term Structure Analysis by hc87 is a document available to read on EtoBox.

What is Model-Free Volatility Term Structure Analysis about?

This document presents a study on constructing term structures of model-free volatilities and exploring volatility risk premium. The study enhances methods to compute model-free volatility more accurately over maturities from 30 to 450 days. It finds the term structure of volatility changes less drastically over longer maturities. Short-term volatility spikes correlate more with market declines while long-term increases correlate with rises. Upward sloping term structures correspond to positive returns and

Author

hc87

Language

EN