Bollerslev, Tim; Sizova, Natalia; Tauchen, George - School of Economics and Management, University of Aarhus - 2009
. The Epstein-Zin-Weil preference structure was flrst
employed in a continuous-time asset pricing setting by Du–e and … market
and VIX volatility indexes.
JEL Classiflcation Numbers: C22, C51, C52, G12, G13, G14.
Keywords: Equilibrium asset … pricing; stochastic volatility; leverage efiect; volatility feed-
back; option implied volatility; realized volatility …