Market risk modeling with option-implied covariances and score-driven dynamics-Reference-Cited by-同舟云学术

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Market risk modeling with option-implied covariances and score-driven dynamics

Published:2024-05 Issue: Volume:72 Page:102136
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Herrera Rodrigo,Piña Marco^ORCID

Publisher

Elsevier BV

Reference33 articles.

1. Modeling S&P500 returns with GARCH models;Alfaro;Latin American Journal of Central Banking,2023

2. Stochastic covariance models;Asai;Journal of the Japan Statistical Society,2014

3. Empirical performance of alternative option pricing models;Bakshi;The Journal of Finance,1997

4. Delta-hedged gains and the negative market volatility risk premium;Bakshi;The Review of Financial Studies,2003

5. Implied correlation and market returns;Bernales,2016

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