Variance disparity and market frictions

DOI10.1016/J.JECONOM.2019.07.005zbMATH Open1456.62255OpenAlexW2970158773WikidataQ127317188 ScholiaQ127317188MaRDI QIDQ2294445FDOQ2294445

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

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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)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• 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
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Nonparametric risk management and implied risk aversion
• The Impact of Uncertainty Shocks
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
• Optimal positioning in derivative securities
• Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach*
• Price discovery in the U.S. stock and stock options markets: a portfolio approach
• The VIX, the variance premium and stock market volatility
• Market-based estimation of stochastic volatility models
• The term structure of equity and variance risk premia
• Title not available (Why is that?)
• Hedging Pressure and Futures Price Movements in a General Equilibrium Model
• Resolution of policy uncertainty and sudden declines in volatility

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