The fine structure of equity-index option dynamics

DOI10.1016/j.jeconom.2015.02.037zbMath1337.91135OpenAlexW3022226261MaRDI QIDQ2347729

Viktor Todorov, Torben G. Andersen, Oleg Bondarenko, George Tauchen

Publication date: 8 June 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.037

zbMATH Keywords

stochastic volatilityhigh-frequency datastable processimplied volatilityjump activityKolmogorov-Smirnov testVIX index

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (8)

Power penalty approach to American options pricing under regime switching ⋮ Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale ⋮ Nonparametric filtering of conditional state-price densities ⋮ A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation ⋮ Inference for local distributions at high sampling frequencies: a bootstrap approach ⋮ On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach ⋮ Informative option portfolios in filter design for option pricing models ⋮ Econometric analysis of financial derivatives: an overview

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