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Obtaining implied volatilities from interest ratedifferentials: New York from 1900 to 1934
Detalles
- Autor(es) Miguel Cantillo
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- Tipo Documentos de Trabajo
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Fecha de
Publicación Julio 2019
Resumen
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.
