The fine structure of equity-index option dynamics-Reference-Cited by-同舟云学术

The fine structure of equity-index option dynamics

Published:2015-08 Issue:2 Volume:187 Page:532-546
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Andersen Torben G.,Bondarenko Oleg,Todorov Viktor,Tauchen George

Funder

Danish National Research Foundation

National Science Foundation

CME Group

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference24 articles.

1. Testing for jumps in a discretely observed process;Ait-Sahalia;Ann. Statist.,2009

2. Is Brownian motion necessary to model high frequency data?;Ait-Sahalia;Ann. Statist.,2010

3. Andersen, T.G., Bondarenko, O., Gonzalez-Perez, M., 2013. Uncovering Novel Features of Equity-Index Return Dynamics via Corridor Implied Volatility. Working Paper, Northwstern University and University of Illinois.

4. Andersen, T.G., Fusari, N., Todorov, V., 2013a. Parametric inference and dynamic state recovery from option panels. Econometrica, forthcoming.

5. Andersen, T.G., Fusari, N., Todorov, V., 2013b. The risk premia embedded in index options. J. Financ. Econom., forthcoming.

Cited by 25 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. Jumps or Staleness?;Journal of Business & Economic Statistics;2023-06-15

2. On the Nature of (Jump) Skewness Risk Premia;Management Science;2023-05-09

3. Uncovering the Asymmetric Information Content of High-Frequency Options;SSRN Electronic Journal;2023

4. Fuzzy confrontations of models of ESG investing versus non-ESG investing based on artificial intelligence algorithms;Journal of Sustainable Finance & Investment;2022-01-31

5. Equity tail risk and currency risk premiums;Journal of Financial Economics;2022-01