Pages that link to "Item:Q737279"
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The following pages link to Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (Q737279):
Displayed 30 items.
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Variance trading and market price of variance risk (Q469575) (← links)
- Probabilistic forecasts of volatility and its risk premia (Q528102) (← links)
- The variance risk premium and fundamental uncertainty (Q529727) (← links)
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility (Q737258) (← links)
- Realized jumps on financial markets and predicting credit spreads (Q737268) (← links)
- Variance dynamics: joint evidence from options and high-frequency returns (Q737284) (← links)
- Determination and estimation of risk aversion coefficients (Q1616811) (← links)
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis (Q1619987) (← links)
- VIX forecast under different volatility specifications (Q1627811) (← links)
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591) (← links)
- A new approach to risk-return trade-off dynamics via decomposition (Q1656505) (← links)
- Resolution of policy uncertainty and sudden declines in volatility (Q1706492) (← links)
- The high frequency risk attitude implied by the volatility risk premium (Q1984463) (← links)
- Pricing European call options under a hard-to-borrow stock model (Q2009590) (← links)
- A robust numerical solution to a time-fractional Black-Scholes equation (Q2166825) (← links)
- Dynamics of variance risk premia: a new model for disentangling the price of risk (Q2190227) (← links)
- Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff (Q2224887) (← links)
- A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX (Q2292748) (← links)
- A non-linear dynamic model of the variance risk premium (Q2347731) (← links)
- Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data (Q2349603) (← links)
- Tail risk and return predictability for the Japanese equity market (Q2658790) (← links)
- Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data (Q2691639) (← links)
- Pricing American call options under a hard-to-borrow stock model (Q4575290) (← links)
- Limited information-processing capacity and asymmetric stock correlations (Q4683041) (← links)
- The term structure of S&P 100 model-free volatilities (Q5397441) (← links)
- A reexamination of stock return predictability (Q5964757) (← links)
- Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data (Q6039118) (← links)
- Equilibrium investment with random risk aversion (Q6146680) (← links)
- A subdiffusive stochastic volatility jump model (Q6166218) (← links)