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The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.; Feunou, Bruno; Jacobs, Kris; … - 2012
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we...
Persistent link: https://www.econbiz.de/10009627514
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The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.; Feunou, Bruno; Jacobs, Kris; … - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 663-697
Persistent link: https://www.econbiz.de/10010487742
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The Economic Value of Realized Volatility : Using High-Frequency Returns for Option Valuation
Christoffersen, Peter - 2012
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we...
Persistent link: https://www.econbiz.de/10013116276
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Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae - In: Journal of banking & finance 61 (2015) 2, pp. 101-120
Persistent link: https://www.econbiz.de/10011585489
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Exploring time-varying jump intensities : evidence from S&P500 returns and options
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2008
Persistent link: https://www.econbiz.de/10003861266
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Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2010
Persistent link: https://www.econbiz.de/10009161203
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Market skewness risk and the cross-section of stock returns
Chang, Bo Young; Christoffersen, Peter F.; Jacobs, Kris - 2010
Persistent link: https://www.econbiz.de/10009161204
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Option valuation with volatility components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - 2015
Persistent link: https://www.econbiz.de/10011398641
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Correlation dynamics and international diversification benefits
Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - In: International journal of forecasting 30 (2014) 3, pp. 807-824
Persistent link: https://www.econbiz.de/10010516049
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A comment on Christoffersen, Jacobs, and Ornthanalai (2012), "Dynamic jump intensities and risk premiums : evidence from S&P 500 returns and options"
Durham, Garland; Geweke, John; Ghosh, Pulak - In: Journal of financial economics 115 (2015) 1, pp. 210-214
Persistent link: https://www.econbiz.de/10011327221