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

Journal of Econometrics

Volumn 160, Issue 1, 2011, Pages 22-32

  Garcia, Ren ^a   Lewis, Marc André ^b   Pastorello, Sergio ^c   Renault, Éric ^d  

^a EDHEC BUSINESS SCHOOL   (France)

^b Banque Nationale du Canada ^*  (Canada)

^c UNIVERSITY OF BOLOGNA   (Italy)

^d CIRANO   (Canada)

Author keywords

Implied volatility; Moments of integrated volatility; Objective distribution; Realized volatility; Risk neutral distribution; Volatility risk premium

Indexed keywords

IMPLIED VOLATILITY; INTEGRATED VOLATILITY; OBJECTIVE DISTRIBUTION; REALIZED VOLATILITY; RISK-NEUTRAL DISTRIBUTION; VOLATILITY RISK PREMIUM;

FREQUENCY ESTIMATION; IMAGE SEGMENTATION; METHOD OF MOMENTS; STOCHASTIC MODELS;

RISK PERCEPTION;

EID: 78649747477     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.011     Document Type: Conference Paper

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