Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX
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References listed on IDEAS
- Todorov, Viktor & Tauchen, George, 2010.
"Activity signature functions for high-frequency data analysis,"
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Elsevier, vol. 154(2), pages 125-138, February.
- George Tauchen & Viktor Todorov, 2010. "Activity Signature Functions for High-Frequency Data Analysis," Working Papers 10-08, Duke University, Department of Economics.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Konstantinidi, Eirini & Skiadopoulos, George, 2016.
"How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns,"
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More about this item
KeywordsVIX; Model-Free Implied Volatility; Corridor Implied Volatility; Time Series Coherence;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-01-03 (All new papers)
- NEP-CFN-2012-01-03 (Corporate Finance)
- NEP-ETS-2012-01-03 (Econometric Time Series)
- NEP-MST-2012-01-03 (Market Microstructure)
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