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Coherent model-free implied volatility : a corridor fix for high-frequency VIX
Andersen, Torben; Bondarenko, Oleg; Gonzalez-Perez, Maria T. - 2011
Persistent link: https://www.econbiz.de/10009385071
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A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2013
Persistent link: https://www.econbiz.de/10009735127
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Information shocks, jumps, and price discovery : evidence from the US Treasury market
Jiang, George J. (contributor); Lo, Ingrid (contributor);  … - 2008
is often preceeded by an increase in market volatility and a withdrawal of liquidity, and that liquidity shocks play an …
Persistent link: https://www.econbiz.de/10003749227
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An empirical investigation of continuous-time equity return models
Andersen, Torben; Benzoni, Luca; Lund, Jesper - 2001
Persistent link: https://www.econbiz.de/10001615265
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Some like it smooth, and some like it rough : untanging continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003
Persistent link: https://www.econbiz.de/10001846702
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The distribution of stock return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001476423
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Dissecting the Idiosyncratic Volatility Anomaly
Chen, Linda H. - 2012
The idiosyncratic volatility anomaly, as first documented in Ang, Hodrick, Xing, and Zhang (2006), has received … provide evidence towards distinguishing potential explanations. Our results show that the idiosyncratic volatility anomaly is … addition, we show that the idiosyncratic volatility anomaly is not due to the market microstructure effect and cannot be …
Persistent link: https://www.econbiz.de/10013109029
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Evaluating Analysts’ Value : Evidence from Recommendations around Stock Price Jumps
Jiang, George J. - 2009
Recent literature documents that analyst recommendations tend to coincide with important corporate events, but offers mixed evidence on whether such recommendations have added value. In this paper, we use jump in stock price as a proxy for generic corporate “information event” and examine...
Persistent link: https://www.econbiz.de/10013156299
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Drift or Jump : What Drives Post-Earnings Announcement Stock Returns?
Chen, Linda H. - 2018
One of the contentious issues regarding the post-earnings announcement drift (PEAD) is whether the abnormal stock return is driven by investors' delayed reaction to earnings information or by unexpected information shocks subsequent to earnings announcement. In this paper, we disentangle...
Persistent link: https://www.econbiz.de/10012938669
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The Role of Analysts : An Examination of the Idiosyncratic Volatility Anomaly in the Chinese Stock Market
Gu, Ming - 2020
the idiosyncratic volatility (IVOL) anomaly. Our results show that the inverse relation between IVOL and future stock …
Persistent link: https://www.econbiz.de/10012851981