Variance dynamics: joint evidence from options and high-frequency returns (Q737284)
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scientific article; zbMATH DE number 6610579
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Variance dynamics: joint evidence from options and high-frequency returns |
scientific article; zbMATH DE number 6610579 |
Statements
Variance dynamics: joint evidence from options and high-frequency returns (English)
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10 August 2016
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return variance dynamics
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variance risk premium
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options
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variance swap rates
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high-frequency returns
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market microstructure
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realized variance
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quadratic variation
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time-changed Lévy processes
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0.8877923
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0.8583384
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0.85743034
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0.8551639
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0.8538868
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0.8509866
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0.84805715
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0.84803164
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