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Keywords: Implied volatility (VCAC)
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Journal Articles
Evidence on aggregate volatility risk premium for the French stock market
Available to Purchase
Journal:
Managerial Finance
Managerial Finance (2020) 46 (1): 72–91.
Published: 30 October 2019
... (2018) Implied volatility (VCAC) Seven-factor model G12 Besides the different market anomalies presented across the different Fama and French (1993, 2015) multifactor models, many research works study other risk premium such as the momentum. Jegadeesh and Titman (1993) argue...
