Conferencia de Economistas 2025 - Postulaciones para presentaciones en sesiones paralelas o pósters
La quinta edición de la Conferencia de Economistas C
This paper obtains monthly implied volatilities of the NYSE from1900 to 1934 from interest rate differentials. The resulting impliedvolatilities were about 40% higher than their modern (2007-2019) coun-terparts, justifying an market risk premium almost twice as high as thecurrent level.