Resolution of policy uncertainty and sudden declines in volatility

DOI10.1016/J.JECONOM.2017.12.003MaRDI QIDQ1706492zbMATH OpenOpenAlexFDO

Authors Dante Amengual, Dacheng Xiu

Publication date 22 March 2018

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2017.12.003

zbMATH Keywords

variance swapsdownward volatility jumpslog volatility modelsnon-affine derivative pricing modelsquadratic volatility models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Option pricing when underlying stock returns are discontinuous
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• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Variance swaps on time-changed Lévy processes
• Volatility jumps

Cited in

(11)

• Variance swaps with mean reversion and multi-factor variance
• A multifactor transformed diffusion model with applications to VIX and VIX futures
• On classifying the effects of policy announcements on volatility
• Cross-category, trans-pacific spillovers of policy uncertainty and financial market volatility
• Bayesian estimation of dynamic asset pricing models with informative observations
• Economic policy uncertainty and the yield curve
• Stochastic volatility model with correlated jump sizes and independent arrivals
• Double-jump diffusion model for VIX: evidence from VVIX
• On the estimation of jump-diffusion models using intraday data: a filtering-based approach
• Variance disparity and market frictions
• Extreme downside risk and market turbulence

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