Learning and Forecasts about Option Returns through the Volatility Risk Premium
“We show that learning induces dynamic differences between probability measures P and Q, which produces predictability patterns from the VRP for option returns.”
AssetVolatility and options
StrategyVolatility risk premium
TechniqueBayesian
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodVolatility risk premium by year
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