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Jump and volatility risk premiums implied by VIX

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References

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2006Maximum likelihood estimation of stochastic volatility models538 cited

2003The dynamics of stochastic volatility: evidence from underlying and options markets504 cited

Cited by

2011An analytical formula for VIX futures and its applications107 cited
2012Estimating and Using GARCH Models with VIX Data for Option Valuation98 cited
2015What do asset prices have to say about risk appetite and uncertainty?94 cited
2013A regime-switching Heston model for VIX and S&P 500 implied volatilities92 cited
2012Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions85 cited
2017Time–frequency causality between stock prices and exchange rates: Further evidences from cointegration and wavelet analysis75 cited
2007Construction and Interpretation of Model-Free Implied Volatility72 cited
2012The Term Structure of VIX68 cited
2013Model-Free Volatility Indexes in the Financial Literature: A Review67 cited
2011Pricing VIX options with stochastic volatility and random jumps64 cited
2017Regime-switching stochastic volatility model: estimation and calibration to VIX options62 cited
2011Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX60 cited
2007Construction and Interpretation of Model-Free Implied Volatility57 cited
2009The CBOE S&P 500 three‐month variance futures53 cited
2018Smiling twice: The Heston++ model47 cited
2013Continuous-time VIX dynamics: On the role of stochastic volatility of volatility45 cited