SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications
15 references·1 citing·39 second hop
Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications (2011)Tilted Nonparametric Estimation of Volati…The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)The Statistical and Economic …THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS (2004)THE LIVE METHOD FOR GENERALIZ…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…On the functional estimation of jump–diffusion models (2003)On the functional estimation …Fully Nonparametric Estimation of Scalar Diffusion Models (2003)Fully Nonparametric Estimatio…A Reexamination of Diffusion Estimators With Applications to Financial Model Validation (2003)A Reexamination of Diffusion …The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR (2002)NONPARAMETRIC ESTIMATION OF V…Efficient estimation of conditional variance functions in stochastic regression (1998)Efficient estimation of condi…Local polynomial estimators of the volatility function in nonparametric autoregression (1997)Local polynomial estimators o…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…Regression with Nonstationary Volatility (1995)Regression with Nonstationary…Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…Alternative models for conditional stock volatility (1990)Alternative models for condit…Combining the Virtues of Stochastic Frontier and Data Envelopment Analysis (2019)Combining the Virtues of Stoc…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)Efficient Semiparametric Estimation of the Fama-French Model and Extensions (2012)How to measure the impact of environmental factors in a nonparametric production model (2012)Semiparametric ARCH Models (1991)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 (2005)Volatility spillovers between food and energy markets: A semiparametric approach (2011)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Leverage and Volatility Feedback Effects in High-Frequency Data (2006)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Volatility Spreads and Expected Stock Returns (2009)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Continuous Martingales and Brownian Motion (1999)Stochastic Differential Equations (2003)Brownian Motion and Stochastic Calculus (2007)NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (2009)Testing conditional factor models (2012)Theory of Rational Option Pricing (1973)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Generalized autoregressive conditional heteroskedasticity (1986)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Stock Prices and Volume (1992)Intraday periodicity and volatility persistence in financial markets (1997)Forecasting Volatility in Financial Markets: A Review (2003)Option pricing when underlying stock returns are discontinuous (1976)On estimating the expected return on the market (1980)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)
this work references cited by second hop

References

  • 1997Empirical Performance of Alternative Option Pricing Models2,708 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
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk548 cited
  • 1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited
  • 2004The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models475 cited
  • 1998Efficient estimation of conditional variance functions in stochastic regression474 cited
  • 2003Fully Nonparametric Estimation of Scalar Diffusion Models322 cited
  • 1997Local polynomial estimators of the volatility function in nonparametric autoregression259 cited
  • 2003A Reexamination of Diffusion Estimators With Applications to Financial Model Validation172 cited
  • 2003On the functional estimation of jump–diffusion models161 cited
  • 1995Regression with Nonstationary Volatility90 cited
  • 2002NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR64 cited
  • 2004THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS

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

49 cited

Cited by

  • 2019Combining the Virtues of Stochastic Frontier and Data Envelopment Analysis52 cited