SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Testing the Volatility Term Structure Using Option Hedging Criteria
16 references·12 citing·25 second hop
Testing the Volatility Term Structure Using Option Hedging Criteria (2000)Testing the Volatility Term Structure Usi…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELThreshold heteroskedastic models (1994)Threshold heteroskedastic mod…MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)MODELING STOCHASTIC VOLATILIT…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A Permanent and Transitory Component Model of Stock Return Volatility (1993)A Permanent and Transitory Co…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…ARCH modeling in finance (1992)ARCH modeling in financePricing foreign currency options with stochastic volatility (1990)Pricing foreign currency opti…Overreactions in the Options Market (1989)Overreactions in the Options …The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump (2020)VIX valuation and its futures…Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know? (2019)Longevity Greeks: What Do Ins…Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model (2019)Improving volatility predicti…Stochastic Volatility and Asset Pricing Puzzles (2018)Stochastic Volatility and Ass…A comparative analysis of the predictive power of implied volatility indices and GARCH forecasted volatility (2015)A comparative analysis of the…Modeling and Forecasting the VIX Index (2007)Modeling and Forecasting the …Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter? (2007)Forecasting foreign exchange …Modeling and Forecasting Implied Volatility - an Econometric Analysis of the VIX Index* (2006)Modeling and Forecasting Impl…The Nobel Memorial Prize for Robert F. Engle (2004)The Nobel Memorial Prize for …Delta hedging with the smile (2004)Delta hedging with the smileNEW FRONTIERS FOR ARCH MODELS (2002)NEW FRONTIERS FOR ARCH MODELSCompeting Methods for Option Hedging in the Presence of Transaction Costs (2002)Competing Methods for Option …Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Emerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)The variation of certain speculative prices (1997)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)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)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1990Pricing foreign currency options with stochastic volatility749 cited
  • 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited
  • 1993A Permanent and Transitory Component Model of Stock Return Volatility

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

501 cited
  • 1989Overreactions in the Options Market270 cited
  • Cited by

    • 2018Stochastic Volatility and Asset Pricing Puzzles44 cited
    • 2004The Nobel Memorial Prize for Robert F. Engle41 cited
    • 2007Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?40 cited
    • 2019Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model38 cited
    • 2002Competing Methods for Option Hedging in the Presence of Transaction Costs38 cited
    • 2002NEW FRONTIERS FOR ARCH MODELS37 cited
    • 2004Delta hedging with the smile34 cited
    • 2015A comparative analysis of the predictive power of implied volatility indices and GARCH forecasted volatility32 cited
    • 2007Modeling and Forecasting the VIX Index32 cited
    • 2020VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump29 cited
    • 2006Modeling and Forecasting Implied Volatility - an Econometric Analysis of the VIX Index*26 cited
    • 2019Longevity Greeks: What Do Insurers and Capital Market Investors Need to Know?13 cited