Resolution of policy uncertainty and sudden declines in volatility

DOI10.1016/j.jeconom.2017.12.003zbMath1386.62035OpenAlexW3123508011MaRDI QIDQ1706492

Dante Amengual, Dacheng Xiu

Publication date: 22 March 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.12.003

zbMATH Keywords

variance swapsdownward volatility jumpslog volatility modelsnon-affine derivative pricing modelsquadratic volatility models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

STOCHASTIC VOLATILITY MODEL WITH CORRELATED JUMP SIZES AND INDEPENDENT ARRIVALS ⋮ Double-jump diffusion model for VIX: evidence from VVIX ⋮ Cross-category, trans-pacific spillovers of policy uncertainty and financial market volatility ⋮ Bayesian estimation of dynamic asset pricing models with informative observations ⋮ Variance disparity and market frictions ⋮ Extreme downside risk and market turbulence ⋮ On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach ⋮ A multifactor transformed diffusion model with applications to VIX and VIX futures

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