Pages that link to "Item:Q1969818"

The following pages link to Post-'87 crash fears in the S\&P 500 futures option market (Q1969818):

Displaying 50 items.

• No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications (Q277161) (← links)
• Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
• Volatility puzzles: a simple framework for gauging return-volatility regressions (Q292008) (← links)
• Option valuation with conditional skewness (Q292018) (← links)
• Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
• Quality control for structural credit risk models (Q299230) (← links)
• A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
• Estimating jump-diffusions using closed-form likelihood expansions (Q311641) (← links)
• Calibration and hedging under jump diffusion (Q375525) (← links)
• Price discovery in the U.S. stock and stock options markets: a portfolio approach (Q375529) (← links)
• Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices (Q385646) (← links)
• A lattice model for option pricing under GARCH-jump processes (Q385653) (← links)
• Why does bad news increase volatility and decrease leverage? (Q413491) (← links)
• Variance trading and market price of variance risk (Q469575) (← links)
• Aggregation of preferences for skewed asset returns (Q472212) (← links)
• Time-varying jump tails (Q473227) (← links)
• A closed-form solution for options with ambiguity about stochastic volatility (Q488211) (← links)
• Learning, confidence, and option prices (Q494363) (← links)
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
• Probabilistic forecasts of volatility and its risk premia (Q528102) (← links)
• Spectral estimation of the Lévy density in partially observed affine models (Q544516) (← links)
• Polynomial processes and their applications to mathematical finance (Q693032) (← links)
• Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← links)
• Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
• Estimation of objective and risk-neutral distributions based on moments of integrated volatility (Q737258) (← links)
• Threshold estimation of Markov models with jumps and interest rate modeling (Q737264) (← links)
• Realized jumps on financial markets and predicting credit spreads (Q737268) (← links)
• A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
• Generalized spectral testing for multivariate continuous-time models (Q738028) (← links)
• Affine processes for dynamic mortality and actuarial valuations (Q817280) (← links)
• The market for crash risk (Q844715) (← links)
• Testing for volatility jumps in the stochastic volatility process (Q862565) (← links)
• Specification tests of calibrated option pricing models (Q888333) (← links)
• A tale of two option markets: pricing kernels and volatility risk (Q894646) (← links)
• Adaptive priors based on splines with random knots (Q899059) (← links)
• Calibration of GARCH models using concurrent accelerated random search (Q905332) (← links)
• Equilibrium asset pricing with systemic risk (Q926213) (← links)
• Determinants of S\&P 500 index option returns (Q941727) (← links)
• Simulation-based exact jump tests in models with conditional heteroskedasticity (Q951480) (← links)
• Calibration of a path-dependent volatility model: empirical tests (Q961413) (← links)
• Indirect estimation of \(\alpha \)-stable stochastic volatility models (Q961424) (← links)
• Microstructural biases in empirical tests of option pricing models (Q1037574) (← links)
• The smirk in the S\&P500 futures options prices: a linearized factor analysis (Q1039662) (← links)
• Nonparametric option pricing under shape restrictions (Q1398968) (← links)
• Empirical assessment of an intertemporal option pricing model with latent variables. (Q1398969) (← links)
• The dynamics of stochastic volatility: evidence from underlying and options markets (Q1398978) (← links)
• Alternative models for stock price dynamics. (Q1398979) (← links)
• Empirical option pricing: A retrospection (Q1398987) (← links)
• Affine processes and applications in finance (Q1425484) (← links)
• Pricing foreign equity option with stochastic volatility (Q1618699) (← links)