Variance Dynamics: Joint Evidence from Options and High-Frequency Returns
By Liuren Wu. 2011
78 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/a1f104685096f6d495629558090909c529ea4b87
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Citations in the corpus
- Stochastic Volatility of Volatility and Variance Risk Premia (2013, unknown): “In order to understand the influence of the volatility of volatility term even better, we study the variance risk premium(VRP), which has been studied extensively in the very recentliterature, see e.g. Carr & Wu (2009), Bollerslev et al. (2009), Todorov (2010), Drechsler & Yaron (2011), Wu (2011).”
- Forecasting oil price realized volatility using information channels from other asset classes (2017, background): “For instance, authors such as Andersen et al. (2001), Thomakos and Wang (2003) or Wu (2011), opine that night-time periods and weekends could be ignored from the construction of the realized volatility.”