Research Summary
Research Summary
Time-Varying Volatility Risk Premia
Description
This paper provides evidence for the existence of time-varying volatility risk premia. In doing so, it examines the evolution of the implied volatility bias in the S&P 100 from 1986-2006. Additionally, the paper proves three new results regarding the limiting distributions of test statistics used in unit root and structural break tests for models with GARCH errors.