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Volatility: New Estimation Techniques for Pricing Derivatives
0 references·16 citing·48 second hopsampled
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  • 2012The world price of jump and volatility risk55 cited
  • 2010The diversification effects of volatility-related assets51 cited
  • 2016Tests of investor learning models using earnings innovations and implied volatilities46 cited
  • 2010Volatility in Equilibrium: Asymmetries and Dynamic Dependencies38 cited
  • 2015Trading and Investing in Volatility Products34 cited
  • 2011Variance risk premiums and predictive power of alternative forward variances in the corn market34 cited
  • 2003Asian Flu or Wall Street virus? Tech and non-tech spillovers in the United States and Asia33 cited
  • 2018Risk-neutral moments in the crude oil market

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28 cited
  • 2022Realized GARCH, CBOE VIX, and the Volatility Risk Premium27 cited