Variance dynamics: joint evidence from options and high-frequency returns
type: Item
instance of: scholarly article
title: Variance dynamics: joint evidence from options and high-frequency returns
zbMATH Open document ID: 1441.62269
author: Liuren Wu
published in: Journal of Econometrics
publication date: 2016-08-10T00:00:00Z
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6610579
zbMATH Keywords: return variance dynamics
zbMATH Keywords: variance risk premium
zbMATH Keywords: options
zbMATH Keywords: variance swap rates
zbMATH Keywords: high-frequency returns
zbMATH Keywords: market microstructure
zbMATH Keywords: realized variance
zbMATH Keywords: quadratic variation
zbMATH Keywords: time-changed Lévy processes
MaRDI profile type: Publication
full work available at URL: j.jeconom.2010.03.037
OpenAlex ID: W3121891244
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DOI: 10.1016/J.JECONOM.2010.03.037
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description: scientific article; zbMATH DE number 6610579