A central question in applied research is to estimate the effect of an exogenous intervention or shock on an outcome. The intervention can affect the outcome and controls on impact and over time. Moreover, there can be subsequent feedback between outcomes, controls and the intervention. Many of...

Extended stochastic volatility models are studied which use the daily returns as well as the volatility information in intraday price data summarised in terms of a number of realised measures. These extended models treat the logarithm of daily volatility as a latent process with autoregressive...

This paper makes use of the distributional information contained in high-frequency data to test for the specification of the functional form of the volatility process within the class of stochastic volatility models.

We report on the adequacy of using Sato processes to value equity structured products. In models used to price options on realized variance, the latter must be a random variable with a positive variance. An analysis of this variance of realized variance for Sato processes shows that these...

Here we derive the Levy characteristic triplet for the GNIG probability law. This characterizes the corresponding Levy process. In addition we derive equivalent martingale measures with which to price simple put and call options. This is done under two different equivalent martingale measures....

The concept of stress levels embedded in S&P500 options is defined and illustrated with explicit constructions. The particular example of a stress function used is MINMAXVAR. Seven joint laws for the top 50 stocks in the index are considered. The first time changes a Gaussian one factor copula....

In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with a two-month expiration period. The...

In this paper, we study the identification and estimation of a dynamic discrete game allowing for discrete or continuous state variables. We first provide a general nonparametric identification result under the imposition of an exclusion restriction on agent payoffs. Next we analyze large sample...