Printed from https://ideas.repec.org/n/nep-fmk/2008-06-27.html
Report NEP-FMK-2008-06-27
This is the archive for NEP-FMK, a report on new working papers in the area of Financial Markets. Erik Schlogl issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-FMK
The following items were announced in this report:
- Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007, "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-09, Jun.
- Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007, "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-10, Jun.
- Tim Bollerslev & Michael Gibson & Hao Zhou, 2007, "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-16, Aug.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2007, "Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-20, Aug.
- Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007, "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-21, Aug.
- Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007, "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-22, Aug.
- Torben G. Andersen & Oleg Bondarenko, 2007, "Construction and Interpretation of Model-Free Implied Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-24, Sep.
- Torben G. Andersen & Luca Benzoni, 2007, "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-25, Sep.
- Mark Podolskij & Daniel Ziggel, 2007, "A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-26, Sep.
- Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2007, "Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-37, Nov.
- Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007, "Forward-Looking Betas," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-39, Nov.
- Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008, "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-11, Feb.
- Lars Stentoft, 2008, "Option Pricing using Realized Volatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-13, Mar.
- Jie Zhu, 2008, "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2008-14, Mar.
- Viktor Todorov & Tim Bollerslev, 2007, "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2007-15, Aug.