Investors' and Central Bank's Uncertainty Embedded in Index Options
NBER Working Paper No. 16764
---- Acknowledgements ----
Previously circulated as "Investor and Central Bank Uncertainty and Fear Measures Embedded in Index Options." For comments and suggestions, we thank Francisco Palomino, Burton Hollifield, Amir Yaron, as well as seminar participants at Duke, UNC Chapel Hill, HEC Montreal, Penn State, Rice, Swiss Finance Institute (Lugano), the American Economic Association Meetings, the Society of Financial Studies Finance Cavalcade, and the Western Finance Association Meetings. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.