Persistent and transient variance components in option pricing models with variance-dependent Kernel
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DOI: 10.1016/j.jempfin.2024.101531
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More about this item
Keywords
Component GARCH; Joint estimations; Two-factor GARCH; Two-factor stochastic volatility; Variance-dependent pricing Kernel; Variance risk premium;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Statistics
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