Sökning: "Haojiang Zhao"

Hittade 1 uppsats innehållade orden Haojiang Zhao.

  1. 1. Volatility of Volatility - The Uncertainties of Risks

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Mladen Milutinovic; Haojiang Zhao; [2015]
    Nyckelord :Empirical Asset Pricing; Volatility of Volatility; Volatility; Risk factors in Asset Pricing; Long-Short Trading Strategy;

    Sammanfattning : This paper is an attempt to explore the characteristics of volatility of volatility on the aggregate level and investigate its role in the pricing of equity assets. Several measures of volatility of volatility for the S&P 500 index are elaborated and investigated in this study; realized, parametrized and implied. LÄS MER