Variance dynamics: joint evidence from options and high-frequency returns (Q737284): Difference between revisions
From MaRDI portal
Normalize DOI. |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1016/J.JECONOM.2010.03.037 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.JECONOM.2010.03.037 / rank | |||
Normal rank | |||
Latest revision as of 02:32, 10 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variance dynamics: joint evidence from options and high-frequency returns |
scientific article |
Statements
Variance dynamics: joint evidence from options and high-frequency returns (English)
0 references
10 August 2016
0 references
return variance dynamics
0 references
variance risk premium
0 references
options
0 references
variance swap rates
0 references
high-frequency returns
0 references
market microstructure
0 references
realized variance
0 references
quadratic variation
0 references
time-changed Lévy processes
0 references
0 references
0 references
0 references
0 references
0 references
