Volatility of volatility and leverage effect from options (Q6118716): Difference between revisions

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-.1016/j.jeconom.2024.105669
@@ Property / DOI: 10.1016/j.jeconom.2024.105669 / rank @@
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+Q5495335
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+Parametric Inference and Dynamic State Recovery From Option Panels
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+Volatility measurement with pockets of extreme return persistence
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+Volatility in Equilibrium: Asymmetries and Dynamic Dependencies*
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+Optimal positioning in derivative securities
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+Alternative models for stock price dynamics.
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+Estimation for high-frequency data under parametric market microstructure noise
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Discretization of processes.
@@ Property / cites work: Discretization of processes. / rank @@
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+Q4778955
@@ Property / cites work: Q4778955 / rank @@
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+Efficient estimation of integrated volatility in presence of infinite variation jumps
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+Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
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+High-frequency volatility of volatility estimation free from spot volatility estimates
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+Nonparametric spot volatility from options
@@ Property / cites work: Nonparametric spot volatility from options / rank @@
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+Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
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+Bias reduction in spot volatility estimation from options
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+Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
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+The Estimation of Leverage Effect With High-Frequency Data
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+On leverage in a stochastic volatility model
@@ Property / cites work: On leverage in a stochastic volatility model / rank @@
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@@ Property / Wikidata QID @@
+Q129577304
@@ Property / Wikidata QID: Q129577304 / rank @@
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@@ Property / DOI @@
+.1016/J.JECONOM.2024.105669
@@ Property / DOI: 10.1016/J.JECONOM.2024.105669 / rank @@
+Normal rank