Please use this identifier to cite or link to this item:
http://idr.iimranchi.ac.in:8080/xmlui/handle/123456789/967Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Chakrabarti, Prasenjit. | - |
| dc.date.accessioned | 2022-01-18T07:39:48Z | - |
| dc.date.available | 2022-01-18T07:39:48Z | - |
| dc.date.issued | 2021 | - |
| dc.identifier.citation | Chakrabarti, P. (2021). Co-movement of volatility risk premium: evidence from single stock options market in India. Applied Economics Letters, 28(14), 1181-1186. https://doi.org/10.1080/13504851.2020.1803485 | en_US |
| dc.identifier.issn | 1181–1186 | - |
| dc.identifier.uri | https://doi.org/10.1080/13504851.2020.1803485 | - |
| dc.identifier.uri | http://idr.iimranchi.ac.in:8080/xmlui/handle/123456789/967 | - |
| dc.description.abstract | This study investigates the existence of commonality of volatility risk premium in the index and individual stock options. Using data from the National Stock Exchange (NSE) India, the study finds that the commonality relationship is both economically and statistically significant. The commonality relationship is robust, even after including the market-specific and stock-specific factors. | en_US |
| dc.language.iso | en_US | en_US |
| dc.publisher | Applied Economics Letters | en_US |
| dc.subject | Commonality | en_US |
| dc.subject | Model-free implied volatility | en_US |
| dc.subject | Realized volatility | en_US |
| dc.subject | Volatility risk premium | en_US |
| dc.subject | IIM Ranchi | en_US |
| dc.title | Co-movement of volatility risk premium: evidence from single stock options market in India | en_US |
| dc.type | Article | en_US |
| dc.volume | 28 | en_US |
| dc.issue | 14 | en_US |
| Appears in Collections: | Journal Articles | |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.