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A consistent and robust test for autocorrelated jump occurrences

Kwok, Simon Sai Man - In: Journal of financial econometrics 22 (2024) 1, pp. 157-186

Persistent link: https://www.econbiz.de/10014526309

Time-varying jump tails

Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180

Persistent link: https://www.econbiz.de/10010506069

Information gains from using short-dated options for measuring and forecasting volatility

Todorov, Viktor; Zhang, Yang - In: Journal of applied econometrics 37 (2022) 2, pp. 368-391

Persistent link: https://www.econbiz.de/10013165240

A time-varying jump tail risk measure using high-frequency options data

Ubukata, Masato - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2633-2653

Persistent link: https://www.econbiz.de/10013440507

Nonparametric Option Implied Tail Risk and Market Returns

O'Sullivan, Conall - 2018

We propose a non-parametric method based on a model-free formula to evaluate the tails of a risk-neutral distribution using the full cross-section of option prices at a fixed horizon. The method leads to the joint estimation of risk-neutral tail probabilities and tail expectations beyond the...

Persistent link: https://www.econbiz.de/10012910922