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Investigating impacts of self-exciting jumps in returns and volatility : a Bayesian learning approach
Fulop, Andras; Li, Junye; Yu, Jun - 2012
Persistent link: https://www.econbiz.de/10010202344
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Estimating the parameters of stochastic volatility models using option price data
Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 579-594
Persistent link: https://www.econbiz.de/10011403243
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Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G. - 2012
the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …
Persistent link: https://www.econbiz.de/10013107009
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012
Persistent link: https://www.econbiz.de/10009539803
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Jump, diffusion, and long-term volatility risks with incremental information in VIX assets
Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96
Persistent link: https://www.econbiz.de/10012486031
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The complete Gaussian kernel in the multi-factor Heston model : option pricing and implied volatility applications
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele - In: European journal of operational research : EJOR 293 (2021) 1, pp. 336-360
Persistent link: https://www.econbiz.de/10012502484
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Interest rate volatility and risk management : evidence from CBOE Treasury options
Markellos, Raphaēl N.; Psychoyios, Dimitris - In: The quarterly review of economics and finance : journal … 68 (2018), pp. 190-202
Persistent link: https://www.econbiz.de/10012034535
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The role of jumps and options in the risk premia of interest rates
Lund, Bruno - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 263-285
Persistent link: https://www.econbiz.de/10012129514
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Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G. - 2012
the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …
Persistent link: https://www.econbiz.de/10012460613
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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