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Long memory and the relation between implied and realized volatility
Bandi, Federico M.; Perron, Benoit - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 636-670
Persistent link: https://www.econbiz.de/10003565756
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Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 602-648
Persistent link: https://www.econbiz.de/10011987648
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Simple robust hedging with nearby contracts
Wu, Liuren; Zhu, Jingyi - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
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Recovering statistical theory in the context of model calibrations
Madan, Dilip B. - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 260-292
Persistent link: https://www.econbiz.de/10011339334
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Static hedging of standard options
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
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Risk-neutral modeling with affine and nonaffine models
Durham, Garland B. - In: Journal of financial econometrics : official journal of … 11 (2013) 4, pp. 650-681
Persistent link: https://www.econbiz.de/10010233868
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Expectations hypothesis of the term structure of implied volatility : evidence from foreign currency and stock index options
Byoun, Soku; Kwok, Chuck C. Y.; Park, Hun Y. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 126-151
Persistent link: https://www.econbiz.de/10002221002
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GARCH option pricing models, the CBOE VIX, and variance risk premium
Hao, Jinji; Zhang, Jin E. - In: Journal of financial econometrics : official journal of … 11 (2013) 3, pp. 556-580
Persistent link: https://www.econbiz.de/10009786515
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The relative contribution of jumps to total price variance
Huang, Xin; Tauchen, George Eugene - In: Journal of financial econometrics : official journal of … 3 (2005) 4, pp. 456-499
Persistent link: https://www.econbiz.de/10003154293
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The impact of shocks on higher moments
Jondeau, Eric; Rockinger, Michael - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 77-105
Persistent link: https://www.econbiz.de/10003826483