-
1
-
-
0039505965
-
Nonparametric estimation of state-price densities implicit in financial asset prices
-
Aït-Sahalia, Y., and A. W. Lo, 1998, "Nonparametric Estimation of State-price Densities Implicit in Financial Asset Prices," Journal of Finance, 53, 499-547.
-
(1998)
Journal of Finance
, vol.53
, pp. 499-547
-
-
Aït-Sahalia, Y.1
Lo, A.W.2
-
2
-
-
25844435205
-
How often to sample a continuous-time process in the presence of market microstructure noise
-
Aït-Sahalia, Y., P. A. Mykland, and L. Zhang, 2003, "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," Review of Financial Studies, 18, 351-416.
-
(2003)
Review of Financial Studies
, vol.18
, pp. 351-416
-
-
Aït-Sahalia, Y.1
Mykland, P.A.2
Zhang, L.3
-
3
-
-
0005880209
-
Answering the critics: Yes, arch models do provide good volatility forecasts
-
Andersen, T. G., and T. Bollerslev, 1998, "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," International Economic Review, 39, 885-905.
-
(1998)
International Economic Review
, vol.39
, pp. 885-905
-
-
Andersen, T.G.1
Bollerslev, T.2
-
4
-
-
0035402387
-
The distribution of realized stock return volatility
-
Andersen, T. G., T. Bollerslev, F. X. Diebold, and. H. Ebens, 2001, "The Distribution of Realized Stock Return Volatility," Journal of Financial Economics, 61, 43-76.
-
(2001)
Journal of Financial Economics
, vol.61
, pp. 43-76
-
-
Andersen, T.G.1
Bollerslev, T.2
Diebold, F.X.3
Ebens, H.4
-
5
-
-
1842715601
-
The distribution of realized exchange rate volatility
-
Andersen, T. G., T. Bollerslev, F. X. Diebold, and P. Labys, 2001, "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, 96, 42-55.
-
(2001)
Journal of the American Statistical Association
, vol.96
, pp. 42-55
-
-
Andersen, T.G.1
Bollerslev, T.2
Diebold, F.X.3
Labys, P.4
-
6
-
-
0037244925
-
Modeling and forecasting realized volatility
-
Andersen, T. G., T. Bollerslev, F. X. Diebold, and P. Labys, 2003, "Modeling and Forecasting Realized Volatility," Econometrica, 71, 579-625.
-
(2003)
Econometrica
, vol.71
, pp. 579-625
-
-
Andersen, T.G.1
Bollerslev, T.2
Diebold, F.X.3
Labys, P.4
-
7
-
-
2642525861
-
Realized power variation and stochastic volatility models
-
Barndorff-Nielsen, O. E., and N. Shephard, 2003, "Realized Power Variation and Stochastic Volatility Models," Bernouilli, 9, 243-265.
-
(2003)
Bernouilli
, vol.9
, pp. 243-265
-
-
Barndorff-Nielsen, O.E.1
Shephard, N.2
-
8
-
-
0040517321
-
Empirical performance of alternative option pricing models
-
Bakshi, G., C. Cao, and Z. Chen, 1997, "Empirical Performance of Alternative Option Pricing Models," Journal of Finance, 52, 2003-2049.
-
(1997)
Journal of Finance
, vol.52
, pp. 2003-2049
-
-
Bakshi, G.1
Cao, C.2
Chen, Z.3
-
9
-
-
0003289586
-
Pricing and hedging long-term options
-
Bakshi, G., C. Cao, and Z. Chen, 2000, "Pricing and Hedging Long-Term Options," Journal of Econometrics, 94, 277-318.
-
(2000)
Journal of Econometrics
, vol.94
, pp. 277-318
-
-
Bakshi, G.1
Cao, C.2
Chen, Z.3
-
10
-
-
84977707224
-
The crash of '87: Was it expected? the evidence from options markets
-
Bates, D., 1991, "The Crash of '87: Was it Expected? The Evidence from Options Markets," Journal of Finance, 46, 1009-1044.
-
(1991)
Journal of Finance
, vol.46
, pp. 1009-1044
-
-
Bates, D.1
-
11
-
-
85015692260
-
The pricing of options and corporate liabilities
-
Black, F., and M. Scholes, 1973, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81, 637-659.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 637-659
-
-
Black, F.1
Scholes, M.2
-
12
-
-
0012676386
-
Forecasting s&p 100 volatility: The incremental information content of implied volatility and high frequency index returns
-
Blair, B., S. H. Poon, and S. J. Taylor, 2001, "Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatility and High Frequency Index Returns," Journal of Econometrics, 105, 5-26.
-
(2001)
Journal of Econometrics
, vol.105
, pp. 5-26
-
-
Blair, B.1
Poon, S.H.2
Taylor, S.J.3
-
13
-
-
0000516158
-
Prices of state-contingent claims implicit in option prices
-
Breeden, D. T., and R. H. Litzenberger, 1978, "Prices of State-Contingent Claims Implicit in Option Prices," Journal of Business, 51, 621-651.
-
(1978)
Journal of Business
, vol.51
, pp. 621-651
-
-
Breeden, D.T.1
Litzenberger, R.H.2
-
14
-
-
0040790515
-
Option prices, implied price processes, and stochastic volatility
-
Britten-Jones, M., and A. Neuberger, 2000, "Option Prices, Implied Price Processes, and Stochastic Volatility," Journal of Finance, 55, 839-866.
-
(2000)
Journal of Finance
, vol.55
, pp. 839-866
-
-
Britten-Jones, M.1
Neuberger, A.2
-
15
-
-
0032545899
-
Implied exchange rate distributions: Evidence from OTC option markets
-
Campa, J. M., K. P. Chang, and R. L. Reider, 1998, "Implied Exchange Rate Distributions: Evidence from OTC Option Markets," Journal of International Money and Finance, 17, 117-160.
-
(1998)
Journal of International Money and Finance
, vol.17
, pp. 117-160
-
-
Campa, J.M.1
Chang, K.P.2
Reider, R.L.3
-
16
-
-
21344496103
-
The informational content of implied volatility
-
Canina, L., and S. Figlewski, 1993, "The Informational Content of Implied Volatility," Review of Financial Studies, 6, 659-681.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 659-681
-
-
Canina, L.1
Figlewski, S.2
-
17
-
-
0347732476
-
The telescoping overlap problem in options data
-
University of Aarhus and University of Maryland
-
Christensen, B. J., C. S. Hansen, and N. R. Prabhala, 2001, "The Telescoping Overlap Problem in Options Data," Working paper, University of Aarhus and University of Maryland,
-
(2001)
Working Paper
-
-
Christensen, B.J.1
Hansen, C.S.2
Prabhala, N.R.3
-
18
-
-
0000243642
-
The relation between implied and realized volatility
-
Christensen, B. J., and N. R. Prabhala, 1998, "The Relation between Implied and Realized Volatility," Journal of Financial Economics, 50, 125-150.
-
(1998)
Journal of Financial Economics
, vol.50
, pp. 125-150
-
-
Christensen, B.J.1
Prabhala, N.R.2
-
19
-
-
0002733510
-
Stock market volatility and the information content of stock index options
-
Day, T. E., and C. M. Lewis, 1992, "Stock Market Volatility and the Information Content of Stock Index Options," Journal of Econometrics, 52, 267-287.
-
(1992)
Journal of Econometrics
, vol.52
, pp. 267-287
-
-
Day, T.E.1
Lewis, C.M.2
-
20
-
-
0002515210
-
Riding on a smile
-
Derman, E., and I. Kani, 1994, "Riding on a Smile," Risk, 7, 32-39.
-
(1994)
Risk
, vol.7
, pp. 32-39
-
-
Derman, E.1
Kani, I.2
-
21
-
-
0002959437
-
Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility
-
Derman, E., and I. Kani, 1998, "Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility," International Journal of Theoretical and Applied Finance, 1, 61-110.
-
(1998)
International Journal of Theoretical and Applied Finance
, vol.1
, pp. 61-110
-
-
Derman, E.1
Kani, I.2
-
22
-
-
0013285814
-
Implied trinomial trees of the volatility smile
-
Derman, E., I. Kani, and N. Chriss, 1996, "Implied Trinomial Trees of the Volatility Smile," Journal of Derivatives, 3, 7-22.
-
(1996)
Journal of Derivatives
, vol.3
, pp. 7-22
-
-
Derman, E.1
Kani, I.2
Chriss, N.3
-
23
-
-
0345923875
-
Implied volatility functions: Empirical tests
-
Dumas, B., J. Fleming, and R. E. Whaley, 1998, "Implied Volatility Functions: Empirical Tests," Journal of Finance, 53, 2059-2106.
-
(1998)
Journal of Finance
, vol.53
, pp. 2059-2106
-
-
Dumas, B.1
Fleming, J.2
Whaley, R.E.3
-
24
-
-
4744340299
-
Is implied volatility an informationally efficient and effective predictor of future volatility?
-
Ederington, L. H., and W. Guan, 2002, "Is Implied Volatility an Informationally Efficient and Effective Predictor of Future Volatility?" Journal of Risk, 4, 29-46.
-
(2002)
Journal of Risk
, vol.4
, pp. 29-46
-
-
Ederington, L.H.1
Guan, W.2
-
25
-
-
0000642051
-
The quality of market volatility forecast implied by S&P 100 index option prices
-
Fleming, J., 1998, "The Quality of Market Volatility Forecast Implied by S&P 100 Index Option Prices," Journal of Empirical Finance, 5, 317-345.
-
(1998)
Journal of Empirical Finance
, vol.5
, pp. 317-345
-
-
Fleming, J.1
-
26
-
-
45949117024
-
Expected stock returns and volatility
-
French, K. R., G. W. Schwert, and R. F. Stambaugh, 1987, "Expected Stock Returns and Volatility," Journal of Financial Economics, 19, 3-30.
-
(1987)
Journal of Financial Economics
, vol.19
, pp. 3-30
-
-
French, K.R.1
Schwert, G.W.2
Stambaugh, R.F.3
-
28
-
-
0000191140
-
S&P 100 index option volatility
-
Harvey, C. R., and R. E. Whaley, 1991, "S&P 100 Index Option Volatility," Journal of Finance, 46, 1551-1561.
-
(1991)
Journal of Finance
, vol.46
, pp. 1551-1561
-
-
Harvey, C.R.1
Whaley, R.E.2
-
29
-
-
44049123656
-
Market volatility prediction and the efficiency of the S&P 100 index option market
-
Harvey, C. R., and R. E. Whaley, 1992a, "Market Volatility Prediction and the Efficiency of the S&P 100 Index Option Market," Journal of Financial Economics, 31, 43-73.
-
(1992)
Journal of Financial Economics
, vol.31
, pp. 43-73
-
-
Harvey, C.R.1
Whaley, R.E.2
-
30
-
-
84978562147
-
Dividends and S&P 100 index option valuation
-
Harvey, C. R., and R. E. Whaley, 1992b, "Dividends and S&P 100 Index Option Valuation," Journal of Futures Markets, 12, 123-137.
-
(1992)
Journal of Futures Markets
, vol.12
, pp. 123-137
-
-
Harvey, C.R.1
Whaley, R.E.2
-
31
-
-
0000250716
-
Specification tests in econometrics
-
Hausman, J., 1978, "Specification Tests in Econometrics," Econometrica, 46, 1251-1271.
-
(1978)
Econometrica
, vol.46
, pp. 1251-1271
-
-
Hausman, J.1
-
32
-
-
0037836721
-
A closed-form solution for options with stochastic volatility with applications to bond and currency options
-
Heston, S. L., 1993, "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, 6, 327-343.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 327-343
-
-
Heston, S.L.1
-
33
-
-
0010655783
-
Option-implied risk-neutral distributions and implied binomial trees: A literature review
-
Jackwerth, J. C., 1999, "Option-Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review," Journal of Derivatives, 6, 1-17.
-
(1999)
Journal of Derivatives
, vol.6
, pp. 1-17
-
-
Jackwerth, J.C.1
-
35
-
-
84993915193
-
Predicting volatility in the foreign exchange market
-
Jorion, P., 1995, "Predicting Volatility in the Foreign Exchange Market," Journal of Finance, 50, 507-528.
-
(1995)
Journal of Finance
, vol.50
, pp. 507-528
-
-
Jorion, P.1
-
36
-
-
21144472851
-
Forecasting stock-return variance: Toward an under-standing of stochastic implied volatilities
-
Lamoureux, C. G., and W. D. Lastrapes, 1993, "Forecasting Stock-Return Variance: Toward an Under-standing of Stochastic Implied Volatilities," Review of Financial Studies, 6, 293-326.
-
(1993)
Review of Financial Studies
, vol.6
, pp. 293-326
-
-
Lamoureux, C.G.1
Lastrapes, W.D.2
-
37
-
-
0003825912
-
Relative pricing of options with stochastic volatility
-
University of California at Los Angeles
-
Ledoit, O., and P. Santa-Clara, 1998, "Relative Pricing of Options with Stochastic Volatility," Working paper, University of California at Los Angeles.
-
(1998)
Working Paper
-
-
Ledoit, O.1
Santa-Clara, P.2
-
38
-
-
21844512316
-
Option pricing and the martingale restriction
-
Longstaff, F. A., 1995, "Option Pricing and the Martingale Restriction," Review of Financial Studies, 8, 1091-1124.
-
(1995)
Review of Financial Studies
, vol.8
, pp. 1091-1124
-
-
Longstaff, F.A.1
-
39
-
-
0000706085
-
A simple positive definite heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, W. K., and K. D. West, 1987, "A Simple Positive Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55, 703-708.
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
West, K.D.2
-
40
-
-
4544369828
-
Forecasting sterling/dollar volatility. A comparison of implied volatility and AR(FI)MA models
-
Pong, S., M. B. Shackleton, S. J. Taylor, and X. Xu, 2004, "Forecasting Sterling/Dollar Volatility. A Comparison of Implied Volatility and AR(FI)MA Models," Journal of Banking and Finance, 28, 2541-2563.
-
(2004)
Journal of Banking and Finance
, vol.28
, pp. 2541-2563
-
-
Pong, S.1
Shackleton, M.B.2
Taylor, S.J.3
Xu, X.4
-
42
-
-
0000649048
-
Tests of financial models in the presence of overlapping observations
-
Richardson, M., and T. Smith, 1991, "Tests of Financial Models in the Presence of Overlapping Observations," Review of Financial Studies, 4, 227-254.
-
(1991)
Review of Financial Studies
, vol.4
, pp. 227-254
-
-
Richardson, M.1
Smith, T.2
-
43
-
-
84993899427
-
Implied binomial trees
-
Rubinstein, M., 1994, "Implied Binomial Trees," Journal of Finance, 49, 771-818.
-
(1994)
Journal of Finance
, vol.49
, pp. 771-818
-
-
Rubinstein, M.1
-
44
-
-
0040254730
-
Edgeworth binomial trees
-
Rubinstein, M., 1998, "Edgeworth Binomial Trees," Journal of Derivatives, 5, 20-27.
-
(1998)
Journal of Derivatives
, vol.5
, pp. 20-27
-
-
Rubinstein, M.1
-
45
-
-
0002672430
-
Bounds of probability
-
Shimko, D., 1993, "Bounds of Probability," Risk, 6, 33-37.
-
(1993)
Risk
, vol.6
, pp. 33-37
-
-
Shimko, D.1
-
46
-
-
84971936202
-
The dynamics of stock index and stock index futures returns
-
Stoll, H. R., and R. E. Whaley, 1990, "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, 25, 441-468.
-
(1990)
Journal of Financial and Quantitative Analysis
, vol.25
, pp. 441-468
-
-
Stoll, H.R.1
Whaley, R.E.2
-
47
-
-
0000095552
-
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
-
White, H., 1980, "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, 48, 817-838.
-
(1980)
Econometrica
, vol.48
, pp. 817-838
-
-
White, H.1
-
49
-
-
0030530343
-
High-frequency data and volatility in foreign-exchange rates
-
Zhou, B., 1996, "High-Frequency Data and Volatility in Foreign-Exchange Rates," Journal of Business and Economic Statistics, 14, 45-52.
-
(1996)
Journal of Business and Economic Statistics
, vol.14
, pp. 45-52
-
-
Zhou, B.1
|