Please use this identifier to cite or link to this item: http://pandora.lib.unipi.gr/jspui/handle/unipi/1641
Title: Uncovering a positive risk-return relation: the role of implied volatility index
Authors: 
Citation: Review of Quantitative Finance and Accounting November 2012
Abstract: We report empirical evidence suggesting a strong and positive risk-return relation for the daily S&P 100 market index if the implied volatility index is included as an exogenous variable in the conditional variance equation. This result holds for alternative GARCH specifications and conditional distributions. Monte Carlo evidence suggests that if implied volatility is not included, whilst is should be, the risk-return relation is more likely to be negative or weak.
URI: http://pandora.lib.unipi.gr/jspui/handle/unipi/1641
URLs: http://link.springer.com/article/10.1007%2Fs11156-012-0317-9
Appears in Collections:Δημοσιεύσεις σε Περιοδικά

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