Exploring Return Dynamics via Corridor Implied Volatility-Reference-Cited by-同舟云学术

Exploring Return Dynamics via Corridor Implied Volatility

Published:2015-06-01 Issue:10 Volume:28 Page:2902-2945
ISSN:0893-9454
Container-title:Review of Financial Studies
language:en
Short-container-title:Rev. Financ. Stud.

Author:

Andersen Torben G.,Bondarenko Oleg,Gonzalez-Perez Maria T.

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

http://academic.oup.com/rfs/article-pdf/28/10/2902/5400785/hhv033.pdf

Reference38 articles.

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3. Amengual, D., and D. Xiu. 2014. Resolution of policy uncertainty and sudden declines in volatility. Working Paper, University of Chicago.

4. Construction and interpretation of model-free implied volatility;Andersen,2007

5. Andersen, T. G., and O. Bondarenko. 2013. Dissecting the pricing of equity index volatility. Working Paper, Northwestern University, and University of Illinois at Chicago.

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