Econometric analysis of financial derivatives: an overview

DOI10.1016/j.jeconom.2015.02.026zbMath1314.00084OpenAlexW1995901985MaRDI QIDQ2347714

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Publication date: 8 June 2015

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

Full work available at URL: https://eprints.ucm.es/27822/1/1431.pdf

zbMATH Keywords

stochastic volatilityfractional integrationfutures pricesstochastic dominancevariance risk premiumfat tailsvolatility riskdivided governmentsleverage and asymmetryoption pricing dynamicsswitching volatility

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

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Cites Work

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• The long and the short of the risk-return trade-off
• COMFORT: a common market factor non-Gaussian returns model
• Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
• Divided governments and futures prices

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