Intraday volatility patterns from short-dated options

DOI10.1016/J.JECONOM.2024.105732MaRDI QIDQ6854616zbMATH OpenFDO

Authors Viktor Todorov, Yang Zhang

Publication date 24 February 2026

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105732

zbMATH Keywords

calendar effectin-fill asymptoticsintraday volatility patternnonparametric volatility estimationshort-dated options

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
• Nonparametric spot volatility from options
• Parametric Inference and Dynamic State Recovery From Option Panels
• Spatial dependence in option observation errors
• Stochastic Volatility for Lévy Processes
• Time-varying jump tails
• Time-varying periodicity in intraday volatility
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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