Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
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Publication:737279
DOI10.1016/j.jeconom.2010.03.033zbMath1441.62258OpenAlexW2131938998MaRDI QIDQ737279
Publication date: 10 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.federalreserve.gov/pubs/feds/2004/200456/200456pap.pdf
Black-Scholesreturn predictabilityGMM estimationmodel-free implied volatilitymodel-free realized volatilitystochastic volatility risk premium
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
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- Testing for jumps when asset prices are observed with noise -- a ``swap variance approach
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility
- Variance dynamics: joint evidence from options and high-frequency returns
- The dynamics of stochastic volatility: evidence from underlying and options markets
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- Nonparametric risk management and implied risk aversion
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Modeling and Forecasting Realized Volatility
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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