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Models for S&P 500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
16 references·7 citing·32 second hop
Models for S&P 500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices (2008)Models for S&P 500 Dynamics: Evidence fro…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesDo Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Do Stock Prices and Volatilit…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…The distribution of realized stock return volatility (2001)The distribution of realized …Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…A Closed-Form GARCH Option Valuation Model (2000)A Closed-Form GARCH Option Va…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyA Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate (2019)Pricing Vulnerable Options wi…Beyond Stochastic Volatility and Jumps in Returns and Volatility (2012)Beyond Stochastic Volatility …Assessing Models of Individual Equity Option Prices (2012)Assessing Models of Individua…Maximum likelihood estimation of non-affine volatility processes (2010)Maximum likelihood estimation…Stochastic Volatility (2009)Stochastic VolatilityCHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION (2009)CHARACTERISTIC FUNCTION–BASED…Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate (2008)Testing Hypotheses in an I(2)…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Brownian Motion and Stochastic Calculus (2007)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)The Econometrics of Financial Markets (2012)Option pricing when underlying stock returns are discontinuous (1976)On estimating the expected return on the market (1980)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 1994Multivariate Stochastic Variance Models1,367 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices

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1,116 cited
  • 2000A Closed-Form GARCH Option Valuation Model972 cited
  • Cited by

    • 2009Stochastic Volatility33 cited
    • 2019Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate32 cited
    • 2010Maximum likelihood estimation of non-affine volatility processes30 cited
    • 2009CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION26 cited
    • 2012Assessing Models of Individual Equity Option Prices24 cited
    • 2012Beyond Stochastic Volatility and Jumps in Returns and Volatility24 cited
    • 2008Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate23 cited