Variance dynamics: joint evidence from options and high-frequency returns

DOI10.1016/J.JECONOM.2010.03.037MaRDI QIDQ737284zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Option pricing under autoregressive random variance models

Cites work

• scientific article; zbMATH DE number 3945130 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Tale of Two Time Scales
• A general characterization of one factor affine term structure models
• Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Modeling and Forecasting Realized Volatility
• Power Variation and Time Change
• Quasi-maximum likelihood estimation of volatility with high frequency data
• The dynamics of stochastic volatility: evidence from underlying and options markets
• Towards a theory of volatility trading

Cited in

(16)

• The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
• 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
• Probabilistic forecasts of volatility and its risk premia
• Resolution of policy uncertainty and sudden declines in volatility

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