Short-Term Market Risks Implied by Weekly Options

By Torben G. Andersen, Nicola Fusari, V. Todorov. 2017

118 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/0f6ae209a48a91d7b524a14f70d87a0123de993e

Citations in the corpus

• Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, unknown): “…we do not have data on 1-month variance swaps, which may help identify jumps from stochastic volatility and which are informative about risk premia as shown by Andersen et al. (2017), we use the squared-VIX in out-ofsample studies and find very small pricing errors. criterion for non-nested models.”