Auflistung nach Autor "Shaliastovich, Ivan"
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Volatility-of-Volatility Risk
Huang, Darien; Schlag, Christian; Shaliastovich, Ivan; Thimme, Julian (2018-05-01)We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and ...