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Level Shifts in Volatility and the Implied-Realized Volatility Relation
Christensen, Bent Jesper; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2010
We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization to the...
Persistent link: https://www.econbiz.de/10008549066
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The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - School of Economics and Management, University of Aarhus - 2007
, predictable, and options appear calibrated to incorporate information about future jumps in all three markets. …
Persistent link: https://www.econbiz.de/10005004428
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Stochastic Volatility
Andersen, Torben G.; Benzoni, Luca - School of Economics and Management, University of Aarhus - 2010
We give an overview of a broad class of models designed to capture stochastic volatility in financial markets, with illustrations of the scope of application of these models to practical finance problems. In a broad sense, this model class includes GARCH, but we focus on a narrower set of...
Persistent link: https://www.econbiz.de/10008504200
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The Factor Structure in Equity Options
Christoffersen, Peter; Fournier, Mathieu; Jacobs, Kris - School of Economics and Management, University of Aarhus - 2013
Principal component analysis of equity options on Dow-Jones firms reveals a strong factor structure. The first …
Persistent link: https://www.econbiz.de/10010851218
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Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach
Bach, Christian; Christensen, Bent Jesper - School of Economics and Management, University of Aarhus - 2011
We include simultaneously both realized volatility measures based on high-frequency asset returns and implied volatilities backed out of individual traded at the money option prices in a state space approach to the analysis of true underlying volatility. We model integrated volatility as a...
Persistent link: https://www.econbiz.de/10008835428
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Pricing CAC 40 Index Options under Asymmetry of Information.
Aboura, Sofiane - Université Paris-Dauphine - 2005
This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.
Persistent link: https://www.econbiz.de/10008572194
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GARCH option pricing under skew.
Aboura, Sofiane - Université Paris-Dauphine - 2005
European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead … out-of-sample call options and also its ability to capture the empirical dynamic of the volatility skew. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …
Persistent link: https://www.econbiz.de/10008520036
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The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model
Christensen, Bent Jesper; Posedel, Petra - School of Economics and Management, University of Aarhus - 2010
We study the risk premium and leverage effect in the S&P500 market using the stochastic volatility-in-mean model of Barndor¤-Nielsen & Shephard (2001). The Merton (1973, 1980) equilibrium asset pricing condition linking the conditional mean and conditional variance of discrete time returns is...
Persistent link: https://www.econbiz.de/10008525437
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Forecasting with Option Implied Information
Christoffersen, Peter; Jacobs, Kris; Chang, Bo Young - School of Economics and Management, University of Aarhus - 2011
volatility, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …
Persistent link: https://www.econbiz.de/10009385753
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Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns
Tsiaras, Leonidas - School of Economics and Management, University of Aarhus - 2010
. Using prices of currency options that are available in the public domain, risk-neutral dependency expectations are extracted …
Persistent link: https://www.econbiz.de/10008462030