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The dynamics of the volatility skew: A Kalman filter approach
16 references·7 citing·44 second hop
The dynamics of the volatility skew: A Kalman filter approach (2009)The dynamics of the volatility skew: A Ka…Elements of Financial Risk Management (2012)Elements of Financial Risk Ma…Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008)Can the evolution of implied …A behavioral explanation for the negative asymmetric return–volatility relation (2008)A behavioral explanation for …Does implied volatility provide any information beyond that captured in model-based volatility forecasts? (2007)Does implied volatility provi…Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface* (2006)Predictable Dynamics in the S…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…Elements of Financial Risk Management (2004)Elements of Financial Risk Ma…Option prices under Bayesian learning: implied volatility dynamics and predictive densities (2002)Option prices under Bayesian …Dynamics of implied volatility surfaces (2002)Dynamics of implied volatilit…Testing Density Forecasts, With Applications to Risk Management (2001)Testing Density Forecasts, Wi…The Dynamics of the S&P 500 Implied Volatility Surface (2000)The Dynamics of the S&P 500 I…Option Prices with Uncertain Fundamentals Theory and Evidence on the Dynamics of Implied Volatilities (1999)Option Prices with Uncertain …A market model for stochastic implied volatility (1999)A market model for stochastic…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…International Capital Markets. (1976)International Capital Markets.Market capitalization shock effects on open innovation models in e-commerce: golden cut q-rung orthopair fuzzy multicriteria decision-making analysis (2023)Market capitalization shock e…A NOVEL HYBRID FRACTAL INTERPOLATION-SVM MODEL FOR FORECASTING STOCK PRICE INDEXES (2019)A NOVEL HYBRID FRACTAL INTERP…The Information Content of OVX for Crude Oil Returns Analysis and Risk Measurement: Evidence from the Kalman Filter Model (2015)The Information Content of OV…Volatility and covariation of financial assets: A high-frequency analysis (2011)Volatility and covariation of…Does information drive trading in option strategies? (2010)Does information drive tradin…Predictable dynamics in implied volatility surfaces from OTC currency options (2009)Predictable dynamics in impli…Generalized parameter functions for option pricing (2009)Generalized parameter functio…The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks (2009)The Econometrics of Financial Markets (2012)Predictable Dynamics in Higher-Order Risk-Neutral Moments: Evidence from the S&P 500 Options (2013)On financial contagion and implied market volatility (2014)Measuring and Testing the Impact of News on Volatility (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Modeling and Forecasting Realized Volatility (2003)World War II events and the Dow Jones industrial index (2009)The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship (2014)Herding behavior, market sentiment and volatility: Will the bubble resume? (2017)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Coherent Measures of Risk (1999)How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)A New Approach to Markov-Switching GARCH Models (2004)Comparing Density Forecasts via Weighted Likelihood Ratio Tests (2007)Theory of Rational Option Pricing (1973)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)The pricing of commodity contracts (1976)A Jump-Diffusion Model for Option Pricing (2002)Option pricing by transform methods: extensions, unification and error control (2004)Arbitrage-free SVI volatility surfaces (2013)Crash-neutral currency carry trades (2014)Empirical Performance of Alternative Option Pricing Models (1997)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-parametric calibration of jump–diffusion option pricing models (2004)Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Statistical Arbitrage in the U.S. Equities Market (2008)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Chapter 15 Volatility and Correlation Forecasting (2006)What is the best risk measure in practice? A comparison of standard measures (2015)An Analysis of Brokers' and Analysts' Unpublished Forecasts of UK Stock Returns (1984)Thin Trading and Stock Market Efficiency: the Case of the Kuala Lumpur Stock Exchange (1986)Capital Flow Controls, International Asset Pricing, and Investors' Welfare: A Multi-Country Framework (1989)Volatility Forecasting (2005)Glossary to ARCH (GARCH) (2008)Performance evaluation of portfolio insurance strategies using stochastic dominance criteria (2008)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

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  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2008A behavioral explanation for the negative asymmetric return–volatility relation247 cited
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  • 2000The Dynamics of the S&P 500 Implied Volatility Surface137 cited
  • 2007Does implied volatility provide any information beyond that captured in model-based volatility forecasts?124 cited
  • 2006Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface*118 cited
  • 2002Option prices under Bayesian learning: implied volatility dynamics and predictive densities

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96 cited
  • 1999Option Prices with Uncertain Fundamentals Theory and Evidence on the Dynamics of Implied Volatilities89 cited
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    • 2023Market capitalization shock effects on open innovation models in e-commerce: golden cut q-rung orthopair fuzzy multicriteria decision-making analysis61 cited
    • 2010Does information drive trading in option strategies?41 cited
    • 2009Predictable dynamics in implied volatility surfaces from OTC currency options36 cited
    • 2009Generalized parameter functions for option pricing35 cited
    • 2019A NOVEL HYBRID FRACTAL INTERPOLATION-SVM MODEL FOR FORECASTING STOCK PRICE INDEXES31 cited
    • 2015The Information Content of OVX for Crude Oil Returns Analysis and Risk Measurement: Evidence from the Kalman Filter Model22 cited
    • 2011Volatility and covariation of financial assets: A high-frequency analysis21 cited