Variance disparity and market frictions (Q2294445): Difference between revisions

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+Market-based estimation of stochastic volatility models
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+The term structure of equity and variance risk premia
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+Nonparametric risk management and implied risk aversion
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+Resolution of policy uncertainty and sudden declines in volatility
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+The Impact of Uncertainty Shocks
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+Q4226822
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+Optimal positioning in derivative securities
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+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
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+Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach*
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+Statistical analysis of cointegration vectors
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+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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+The dynamics of stochastic volatility: evidence from underlying and options markets
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+Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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