Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
Author:
Affiliation:
1. Department of Economics and Management, University of Florence , Florence, Italy
2. LPSM, Université de Paris , Paris, France
3. Scuola Normale Superiore , Pisa, Italy
Funder
Institut Europlace de Finance
University of Florence
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2020.1847671
Reference77 articles.
1. Abi Jaber, E. , C. Cuchiero, M. Larsson, and S. Pulido. 2019. “A Weak Solution Theory for Stochastic Volterra Equations of Convolution Type.” https://arxiv.org/abs/1909.01166
2. The Jacobi stochastic volatility model
3. A Hausman test for the presence of market microstructure noise in high frequency data
4. High-Frequency Financial Econometrics
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