Modeling the Dynamics of Correlations Among Implied Volatilities

By Robert F. Engle, Stephen Figlewski. 2015

60 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7816a3b6b2da898458e49b23b3db4861a220cc55

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

1. Stijn Van Nieuwerburgh
2. Hanno Lustig
3. Bryan T. Kelly
4. Bernard Herskovic
5. A. Verdelhan
6. Sydney C. Ludvigson
7. Xavier Gabaix
8. Ralph S. J. Koijen

In Finance

1. Stijn Van Nieuwerburgh
2. Hanno Lustig
3. Bryan T. Kelly
4. Bernard Herskovic
5. Lucio Sarno
6. Xavier Gabaix
7. A. Verdelhan
8. Sydney C. Ludvigson

Citations in the corpus

• The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications (2014, background): “Engle and Figlewski (2012) document a common factor in option-implied volatilities since 1996, and Barigozzi, Brownlees, Gallo, and Veredas (2010) and Veredas and Luciani (2012) examine the factor structure in realized volatilities of intra-daily returns since 2001. Bloom, Floetotto, Jaimovich, and ”
• Firm Volatility in Granular Networks (2013, unknown): “We observe such a widening (increase in firm concentration) between the early 1960s and the late 1990s, providing a new explanation for the trend in mean firm volatility studied by (2)Similarly, Engle and Figlewski (2012) document a common factor in option-implied volatilities since 1996, and Barigo”