Exploring Return Dynamics via Corridor Implied Volatility
By Torben G. Andersen, O. Bondarenko, María T. González-Pérez. 2015
114 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/bc9a3b8ecdba6a8700f5e315522b82f9ef8687f7
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
- D. Xiu
- Dante Amengual
- Yacine Aït-Sahalia
- Markus Bibinger
- Markus Pelger
- Jianqing Fan
- Yingying Li
- Jia Li
In Finance
- Dante Amengual
- D. Xiu
- Yacine Aït-Sahalia
- Markus Bibinger
- Markus Pelger
- Jianqing Fan
- Yingying Li
- Jia Li
Citations in the corpus
- Downside Variance Risk Premium (2015, unknown): “The construction of option-implied downside and upside volatilities is addressed in Andersen, Bondarenko, and Gonzalez-Perez (2015).”
- Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, background): “An exception is Andersen et al. (2015a), who document downward volatility jumps using the constructed intraday corridor implied volatilities.”