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The Telescoping Overlap Problem in Options Data · Study

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PreprintThe Telescoping Overlap Problem in Options Data

Charlotte Strunk Hansen2001

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Preprintgreen2001

The Telescoping Overlap Problem in Options Data

Charlotte Strunk Hansen · Nagpurnanand R. Prabhala · Bent Jesper Christensen

22 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1997Empirical Performance of Alternative Option Pricing Models 1998Implied Volatility Functions: Empirical Tests 1998The relation between implied and realized volatility 1992An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator 1991The Crash of '87: Was It Expected? The Evidence from Options Markets

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2005The Model-Free Implied Volatility and Its Information Content 2002Forecasting Foreign Exchange Volatility: Why Is Implied Volatility Biased and Inefficient? And Does It Matter?

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2005The Model-Free Implied Volatility and Its Information Contentarticle · 9 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 8 shared references 2010The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond marketsarticle · 8 shared references 2013Forecasting with Option-Implied Informationchapter · 8 shared references 2008The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Marketspreprint · 8 shared references 2018Risk-Neutral Densities: A Reviewreview · 8 shared references

Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations22

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.276311

openalex_workW1565909551

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