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Keywords: Volatility of volatility
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2022) 30 (1): 23–45.
Published: 15 November 2021
.... (2016) confirm that EPU exerts influence on risk premium. In addition, Baltussen et al. (2018) propose the measurement of uncertainty about risk, the volatility-of-volatility (VOV) [2] , and show that the stocks with low VOV outperform the stocks with high VOV. Based on VOV, Hollstein...
