Narrow search
Showing 1 - 10 of 1,871
Cover Image
On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
Cover Image
Hermite polynomial based expansion of European option prices
Xiu, Dacheng - In: Journal of econometrics 179 (2014) 2, pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
Cover Image
The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - In: Journal of econometrics 187 (2015) 2, pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Cover Image
A tale of two option markets : pricing kernels and volatility risk
Song, Zhaogang; Xiu, Dacheng - In: Journal of econometrics 190 (2016) 1, pp. 176-196
Persistent link: https://www.econbiz.de/10011591632
Cover Image
The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
Park, Yang-Ho - In: Journal of econometrics 192 (2016) 1, pp. 313-328
Persistent link: https://www.econbiz.de/10011617156
Cover Image
Nonparametric jump variation measures from options
Todorov, Viktor - In: Journal of econometrics 230 (2022) 2, pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Cover Image
Bias reduction in spot volatility estimation from options
Todorov, Viktor; Zhang, Yang - In: Journal of econometrics 234 (2023) 1, pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Cover Image
Volatility of volatility and leverage effect from options
Chong, Carsten H.; Todorov, Viktor - In: Journal of econometrics 240 (2024) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10015074616
Cover Image
Increased correlation among asset classes : Are volatility or jumps to blame, or both?
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 194 (2016) 2, pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
Cover Image
Regime switching in foreign exchange rates : evidence from currency option prices
Bollen, Nicolas P. B.; Gray, Stephen; Whaley, Robert E. - In: Journal of econometrics 94 (2000) 1/2, pp. 239-276
Persistent link: https://www.econbiz.de/10001437758