Pages that link to "Item:Q737279"

The following pages link to Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (Q737279):

Displaying 44 items.

• Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
• Variance trading and market price of variance risk (Q469575) (← links)
• Probabilistic forecasts of volatility and its risk premia (Q528102) (← links)
• The variance risk premium and fundamental uncertainty (Q529727) (← links)
• Does knowing the volatility states affect the market risk premium? (Q691613) (← links)
• Estimation of objective and risk-neutral distributions based on moments of integrated volatility (Q737258) (← links)
• Realized jumps on financial markets and predicting credit spreads (Q737268) (← links)
• Variance dynamics: joint evidence from options and high-frequency returns (Q737284) (← links)
• Option implied ambiguity and its information content: evidence from the subprime crisis (Q1615807) (← links)
• Determination and estimation of risk aversion coefficients (Q1616811) (← links)
• On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis (Q1619987) (← links)
• Risk-adjusted option-implied moments (Q1621614) (← links)
• VIX forecast under different volatility specifications (Q1627811) (← links)
• Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591) (← links)
• Learning and forecasts about option returns through the volatility risk premium (Q1655714) (← links)
• A new approach to risk-return trade-off dynamics via decomposition (Q1656505) (← links)
• Resolution of policy uncertainty and sudden declines in volatility (Q1706492) (← links)
• Option-implied volatility spillover indices for FX risk factors (Q1782312) (← links)
• The high frequency risk attitude implied by the volatility risk premium (Q1984463) (← links)
• Pricing European call options under a hard-to-borrow stock model (Q2009590) (← links)
• A robust numerical solution to a time-fractional Black-Scholes equation (Q2166825) (← links)
• Dynamics of variance risk premia: a new model for disentangling the price of risk (Q2190227) (← links)
• Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff (Q2224887) (← links)
• Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors (Q2224982) (← links)
• A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX (Q2292748) (← links)
• Option-implied value-at-risk and the cross-section of stock returns (Q2328784) (← links)
• A non-linear dynamic model of the variance risk premium (Q2347731) (← links)
• Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data (Q2349603) (← links)
• Tail risk and return predictability for the Japanese equity market (Q2658790) (← links)
• Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data (Q2691639) (← links)
• A Theory of Volatility Spreads (Q3116022) (← links)
• Pricing American call options under a hard-to-borrow stock model (Q4575290) (← links)
• Limited information-processing capacity and asymmetric stock correlations (Q4683041) (← links)
• Cross‐Section Stock Return and Implied Covariance between Jump and Diffusive Volatility (Q4687551) (← links)
• The term structure of S&P 100 model-free volatilities (Q5397441) (← links)
• A reexamination of stock return predictability (Q5964757) (← links)
• Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data (Q6039118) (← links)
• Equilibrium investment with random risk aversion (Q6146680) (← links)
• A subdiffusive stochastic volatility jump model (Q6166218) (← links)
• Tail risk aversion and backwardation of index futures (Q6576882) (← links)
• A robust numerical simulation of a fractional Black-Scholes equation for pricing American options (Q6598052) (← links)
• Measuring Nonlinear Granger Causality in Mean (Q6623184) (← links)
• The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability (Q6623191) (← links)
• Portfolio optimization for sustainable investments (Q6644382) (← links)