Estimation of objective and risk-neutral distributions based on moments of integrated volatility
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Publication:737258
DOI10.1016/J.JECONOM.2010.03.011zbMATH Open1441.62698OpenAlexW2066881083MaRDI QIDQ737258FDOQ737258
Authors: René Garcia, Marc-André Lewis, Sergio Pastorello, Eric Renault 
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.011
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realized volatilityimplied volatilitymoments of integrated volatilityobjective distributionrisk-neutral distributionvolatility risk premium
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Modeling and Forecasting Realized Volatility
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
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- Post-'87 crash fears in the S\&P 500 futures option market
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- Power Variation and Time Change
- Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
- Contingent claims and market completeness in a stochastic volatility model.
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Cited In (21)
- Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market
- Iterative estimation procedure for option pricing with stochastic volatility models
- Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data
- What is beneath the surface? Option pricing with multifrequency latent states
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- A new representation of the risk-neutral distribution and its applications
- A stochastic volatility factor model of Heston type. Statistical properties and estimation
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
- Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
- An option pricing formula for the GARCH diffusion model
- Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
- Estimating and testing non-affine option pricing models with a large unbalanced panel of options
- ESTIMATION OF EXCESS RETURNS FROM DERIVATIVE PRICES AND TESTING FOR RISK NEUTRAL PRICING
- Probabilistic forecasts of volatility and its risk premia
- Econometric analysis of jump-driven stochastic volatility models
- Realized volatility forecasting and market microstructure noise
- Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach
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