Volatility of volatility and leverage effect from options
From MaRDI portal
Publication:6118716
DOI10.1016/j.jeconom.2024.105669arXiv2305.04137WikidataQ129577304 ScholiaQ129577304MaRDI QIDQ6118716
Viktor Todorov, Carsten H. Chong
Publication date: 21 March 2024
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2305.04137
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
- Unnamed Item
- Unnamed Item
- On leverage in a stochastic volatility model
- Discretization of processes.
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
- Alternative models for stock price dynamics.
- Estimation for high-frequency data under parametric market microstructure noise
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
- Nonparametric spot volatility from options
- Efficient estimation of integrated volatility in presence of infinite variation jumps
- Bias reduction in spot volatility estimation from options
- Volatility in Equilibrium: Asymmetries and Dynamic Dependencies*
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Parametric Inference and Dynamic State Recovery From Option Panels
- High-frequency volatility of volatility estimation free from spot volatility estimates
- Optimal positioning in derivative securities
- The Estimation of Leverage Effect With High-Frequency Data
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Volatility measurement with pockets of extreme return persistence
This page was built for publication: Volatility of volatility and leverage effect from options
