The Volatility-of-Volatility Term Structure-Reference-Cited by-同舟云学术

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The Volatility-of-Volatility Term Structure

Published:2018 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Branger Nicole,HHlsbusch Hendrik,Kraftschik Alexander

Publisher

Elsevier BV

Reference46 articles.

1. The Term-Structure of Variance Swaps and Risk Premia;Y Ait-Sahalia;Journal of Financial Economics forthcoming,2015

2. Efficient Simulation of the Heston Stochastic Volatility Model;L Andersen;Journal of Computational Finance,2008

3. Moment explosions in stochastic volatility models;L Andersen;Finance and Stochastics,2007

4. Parametric Inference and Dynamic State Recovery From Option Panels;Torben G Andersen;Econometrica,2015

Cited by 10 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The asymmetric relationship between volatility index and volatility-of-volatility index;Investment Analysts Journal;2022-04-03

2. Option pricing in an investment risk-return setting;Applied Economics;2021-10-07

3. Tempered stable processes with time-varying exponential tails;Quantitative Finance;2021-09-16

4. Time connectedness of fear;Empirical Economics;2021-04-26

5. Volatility-of-Volatility Risk;Journal of Financial and Quantitative Analysis;2018-11-05

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