An empirical comparison of continuous-time models of implied volatility indices
By George Dotsis, Dimitris Psychoyios, George Skiadopoulos. 2007
129 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/325b1d00c7d6522579b17dd1342a57a5efed8bc1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- J. Mencía
- A. Sepp
- Enrique Sentana
- Raphael N. Markellos
- Emilia Tzagkaraki
- Eirini Konstantinidi
- Dimitris Psychoyios
- George Skiadopoulos
In Finance
- J. Mencía
- A. Sepp
- Enrique Sentana
- Emilia Tzagkaraki
- Eirini Konstantinidi
- Raphael N. Markellos
- Y. Klimova
- Jakob Stober
Citations in the corpus
- Valuation of Vix Derivatives (2013, methodology): “Following a similar estimation strategy, Dotsis, Psychoyios, and Skiadopoulos (2007) also use VIX futures data to evaluate the gains of adding jumps to the SQR diffusion.”
- VIX Option Pricing in a Jump-Diffusion Model (2008, methodology): “…http://ssrn.com/abstract=1412339 The empirical analysis of the VIX within the econometric framework as well as general discussion of the VIX futures can be found in recent papers by Psychoyios-Skiadopoulos (2006), Dotsis et al (2007), Zhang et al. (2006) and Zhang-Zhu (2006) and Zhu-Zhang (2007).”
- Regime Switching Vine Copula Models for Global Equity and Volatility Indices (2016, background): “Finally, all these potential applications justify research on the modeling and prediction of volatility indices themselves as well (cf. Dotsis et al. (2007) or Fernandes et al. (2014)).”
- Jump and volatility risk premiums implied by VIX (2010, background): “Combining equations (6) and (12) gives rise to”
- A jump diffusion model for VIX volatility options and futures (2010, methodology): “In the case of the SR and LR processes, the conditional density is known in closed form (see Dotsis et al. 2007 and Detemple and Osakwe 2000, respectively).”
- Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008, methodology): “To this end, in line with the findings by Dotsis et al. (2007), we choose Merton’s (1976) jump-diffusion (hereafter, GBMPJ).”