Variance dynamics: joint evidence from options and high-frequency returns
DOI10.1016/J.JECONOM.2010.03.037zbMATH Open1441.62269OpenAlexW3121891244MaRDI QIDQ737284FDOQ737284
Authors: Liuren Wu 
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.2010.03.037
Recommendations
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Variation, jumps and high-frequency data in financial econometrics
- Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components
- An empirical model of volatility of returns and option pricing
- The fine structure of equity-index option dynamics
- Volatility and expected option returns: a note
- Deterministic volatility models and dynamics of option returns
- Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns
- Option pricing under autoregressive random variance models
optionsquadratic variationmarket microstructure[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=time-changed+L%EF%BF%BD%EF%BF%BDvy+processes&go=Go time-changed L��vy processes]realized variancevariance risk premiumhigh-frequency returnsreturn variance dynamicsvariance swap rates
Cites Work
- Quasi-maximum likelihood estimation of volatility with high frequency data
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Title not available (Why is that?)
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Modeling and Forecasting Realized Volatility
- A Tale of Two Time Scales
- Title not available (Why is that?)
- The dynamics of stochastic volatility: evidence from underlying and options markets
- A general characterization of one factor affine term structure models
- Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
- Power Variation and Time Change
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Towards a theory of volatility trading
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Cited In (16)
- Variance-of-variance risk premium
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
- Dynamics of variance risk premia: a new model for disentangling the price of risk
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- Variance trading and market price of variance risk
- The cross-section of average delta-hedge option returns under stochastic volatility
- Time-varying jump tails
- Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
- Variance risk: a bird's eye view
- Exponential moments of affine processes
- The term structure of equity and variance risk premia
- The fine structure of equity-index option dynamics
- Determinants of S\&P 500 index option returns
- Resolution of policy uncertainty and sudden declines in volatility
- Probabilistic forecasts of volatility and its risk premia
- The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
This page was built for publication: Variance dynamics: joint evidence from options and high-frequency returns
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q737284)
