The Pricing of Short-Term market Risk: Evidence from Weekly Options
NBER Working Paper No. 21491
---- Acknowledgments ----
Andersen gratefully acknowledges support from CREATES, Center for Research in Econometric Analysis of Time Series (DNRF78), funded by the Danish National Research Foundation. Todorov's work was partially supported by NSF Grant SES-0957330. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.