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求助:Volatility-of-volatility and the cross-section of option returns
1 个回复 - 288 次查看【作者(必填)】 Xinfeng Ruan 【文题(必填)】 Volatility-of-volatility and the cross-section of option returns【年份(必填)】 2021 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/ ...2023-9-5 14:09 - cooper56 - 求助成功区

How Aggregate Volatility-of-Volatility Affects Stock Returns
2 个回复 - 353 次查看【作者(必填)】Fabian Hollstein, Marcel Prokopczuk 【文题(必填)】How Aggregate Volatility-of-Volatility Affects Stock Returns 【年份(必填)】2017 【全文链接或数据库名称(选填)】https://academic. ...2019-4-8 17:34 - MemMao - 求助成功区

求Estimation of integrated volatility of volatility with applications to goodnes
2 个回复 - 661 次查看【作者(必填)】Mathias Vetter 【文题(必填)】Estimation of integrated volatility of volatility with applications to goodness-of-fit testing 【年份(必填)】2015 【全文链接或数据库名称(选填)】 [*]B ...2016-10-7 22:41 - weilinhy - 求助成功区

Estimating the Stock/Portfolio Volatility and the Volatility of Volatility
3 个回复 - 1182 次查看【作者(必填)】 Moawia Alghalith 【文题(必填)】 Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method【年份(必填)】 2015 【全文链接或数据库名称(选填)】htt ...2015-4-11 20:46 - wenyu - 求助成功区

Stochastic volatility of volatility and variance risk premia
3 个回复 - 854 次查看【作者(必填)】Barndorff-nielsen, O.E., Veraart, A.E.D 【文题(必填)】Stochastic Volatility of Volatility and Variance Risk Premia 【年份(必填)】2012 【全文链接或数据库名称(选填)】Journal of Fi ...2015-1-31 20:59 - Bumboo - 求助成功区

偏差最优vol-of-vol估计：窗口重叠的作用
0 个回复 - 445 次查看摘要翻译：利用Barndorff Nielsen和Veraart(2009)提出的简单实现估计器，导出了估计现货波动率综合波动率时所涉及的调整参数偏差最优选择的一个可行准则。我们的分析结果是假设现货波动率是一个连续的均值回复过程， ...2022-3-14 18:20 - mingdashike22 - Forum

It’s all about volatility (of volatility): evidence from a two-factor stoch...
0 个回复 - 271 次查看 2004-11-20 12:33 - 资管业务242 - Forum

Stochastic volatility of volatility in continuous time-连续时间波动率的随机波动率
0 个回复 - 364 次查看 2004-10-13 18:50 - 十大券商898 - Forum

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