Estimation of objective and risk-neutral distributions based on moments of integrated volatility

DOI10.1016/j.jeconom.2010.03.011zbMath1441.62698OpenAlexW2066881083MaRDI QIDQ737258

Sergio Pastorello, Marc-André Lewis, René Garcia, Eric Renault

Publication date: 10 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.011

zbMATH Keywords

implied volatilityrealized volatilitymoments of integrated volatilityobjective distributionrisk-neutral distributionvolatility risk premium

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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