Global Volatility Surface and Equity Premia Predictability
The article creates a global implied volatility surface using index options from 20 regions, and finds that the surface's convexity can predict global equity premia.
Featured in No. 20 on 12 Oct 2023 ·
- Released
- 25 Jul 2023
- First featured
- No. 20 · 12 Oct 2023
- Published in
- Not yet, as far as Semantic Scholar knows
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- 2
- Identifier
- SSRN 4597746
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