Nonparametric jump variation measures from options

DOI10.1016/J.JECONOM.2021.04.005MaRDI QIDQ2171999zbMATH OpenOpenAlexFDO

Authors Viktor Todorov

Publication date 14 September 2022

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.04.005

zbMATH Keywords

jump variationLaplace transformnonparametric estimationoptionstail risk

Mathematics Subject Classification ID

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

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Cites work

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• Optimal positioning in derivative securities
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• Spectral calibration of exponential Lévy models
• Tail risk and return predictability for the Japanese equity market
• Time-varying jump tails

Cited in

(1)

• Regulating stochastic clocks§

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