Variance dynamics: joint evidence from options and high-frequency returns

DOI10.1016/j.jeconom.2010.03.037zbMath1441.62269OpenAlexW3121891244MaRDI QIDQ737284

Liuren Wu

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.2010.03.037

zbMATH Keywords

optionsquadratic variationhigh-frequency returnsmarket microstructuretime-changed Lévy processesrealized variancevariance risk premiumreturn variance dynamicsvariance swap rates

Mathematics Subject Classification ID

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

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On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis ⋮ Dynamics of variance risk premia: a new model for disentangling the price of risk ⋮ Variance trading and market price of variance risk ⋮ The term structure of equity and variance risk premia ⋮ Probabilistic forecasts of volatility and its risk premia ⋮ The effects of asymmetric volatility and jumps on the pricing of VIX derivatives ⋮ Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities ⋮ The cross-section of average delta-hedge option returns under stochastic volatility ⋮ Exponential moments of affine processes

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