The fine structure of equity-index option dynamics
From MaRDI portal
Publication:2347729
DOI10.1016/j.jeconom.2015.02.037zbMath1337.91135MaRDI QIDQ2347729
Viktor Todorov, Torben G. Andersen, Oleg Bondarenko, George Tauchen
Publication date: 8 June 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.037
stochastic volatility; high-frequency data; stable process; implied volatility; jump activity; Kolmogorov-Smirnov test; VIX index
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
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