Nonparametric jump variation measures from options

DOI10.1016/j.jeconom.2021.04.005MaRDI QIDQ2171999

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

options; Laplace transform; nonparametric estimation; tail risk; jump variation

Mathematics Subject Classification ID

62-XX: Statistics

91-XX: Game theory, economics, finance, and other social and behavioral sciences

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