Variance disparity and market frictions

DOI10.1016/J.JECONOM.2019.07.005MaRDI QIDQ2294445zbMATH OpenOpenAlexWikidataFDO

Authors Yang-Ho Park

Publication date 11 February 2020

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

Full work available at URL https://www.federalreserve.gov/econres/feds/files/2019059pap.pdf

zbMATH Keywords

asymmetric informationilliquidityeconomic uncertaintyimplied varianceVIX derivative

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1253577 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Hedging Pressure and Futures Price Movements in a General Equilibrium Model
• Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach*
• Market-based estimation of stochastic volatility models
• Nonparametric risk management and implied risk aversion
• Optimal positioning in derivative securities
• Price discovery in the U.S. stock and stock options markets: a portfolio approach
• Resolution of policy uncertainty and sudden declines in volatility
• Statistical analysis of cointegration vectors
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• The Impact of Uncertainty Shocks
• The VIX, the variance premium and stock market volatility
• The dynamics of stochastic volatility: evidence from underlying and options markets
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• The term structure of equity and variance risk premia

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