The dynamics of stochastic volatility: evidence from underlying and options markets
By Christopher S. Jones. 2003
500 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/e7c509732fa6b473fcbd3ad8cf860eee0f181b58
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In Economics and Econometrics
- Tim Bollerslev
- Torben G. Andersen
- F. Bandi
- Yacine Aït-Sahalia
- V. Todorov
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In Finance
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Citations in the corpus
- Options on realized variance by transform methods: a non-affine stochastic volatility model (2009, methodology): “Using S&P 100 implied volatilities, studies by Jones ( 2003 ) and Bakshi et al .”
- Constant elasticity of variance model for proportional reinsurance and investment strategies (2010, methodology): “The CEV model was usually applied to calculating the theoretical price, sensitivities and implied volatility of options (e.g. Cox, 1996; Lo et al., 2000; Davydov and Linetsky, 2001; Detemple and Tian, 2002; Jones, 2003; Widdicks et al., 2005).”
- Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (2011, unknown): “See [25] for a survey.”
- A jump diffusion model for VIX volatility options and futures (2010, background): “…dZθ σ= − + (2) 4 See Hull and White (1988), Heston (1993), Ball and Roma (1994), Heynen et al. (1994), Grünbichler and Longstaff (1996), Bates (2000), and, Jones (2003) for the case of SR, and Wiggins (1987) and Detemple and Osakwe (2000) for he case of LR. where Vt is the value of VIX at time t,…”
- Variance Risk Premiums (2009, unknown): “Bates (1996, 2000, 2003); Pan (2002); Jones (2003); and Eraker (2004) analyze variance risk premiums in conjunction with return risk premiums by estimating various parametric option pricing models with either Bayesian methods or efficient methods of moments.”
- Model Specification and Risk Premia: Evidence from Futures Options (2007, methodology): “Finally, our results are related to Jones (2003), who shows that the square root and constant elasticity of variance models cannot explain the dynamics of implied volatility.”
- Cross-sectional tests of deterministic volatility functions (2002, background): “, 1997) as well as from both option prices and returns on the underlying security (Chernov and Ghysels, 2000; Jones, 2000; Pan, 2002).”