| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics |
0 |
1 |
1 |
351 |
0 |
1 |
1 |
865 |
| A Topic Model for 10-K Management Disclosures |
2 |
3 |
3 |
3 |
2 |
6 |
6 |
6 |
| A dynamic copula approach to recovering the index implied volatility skew |
0 |
0 |
1 |
171 |
2 |
2 |
8 |
406 |
| A simple and general approach to fitting the discount curve under no-arbitrage constraints |
0 |
0 |
0 |
30 |
0 |
0 |
1 |
77 |
| A variance spillover analysis without covariances: what do we miss? |
0 |
0 |
0 |
61 |
0 |
0 |
16 |
290 |
| Additive modeling of realized variance: tests for parametric specifications and structural breaks |
0 |
0 |
0 |
52 |
0 |
0 |
0 |
102 |
| Arbitrage-Free Smoothing of the Implied Volatility Surface |
0 |
1 |
10 |
905 |
0 |
7 |
30 |
2,087 |
| Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data |
1 |
1 |
1 |
125 |
1 |
1 |
3 |
397 |
| Correlation Risk Premia for Multi-Asset Equity Options |
0 |
0 |
0 |
43 |
0 |
0 |
2 |
107 |
| DSFM fitting of Implied Volatility Surfaces |
0 |
0 |
0 |
168 |
0 |
0 |
1 |
513 |
| Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface |
0 |
1 |
5 |
49 |
0 |
1 |
8 |
151 |
| GARCH option pricing models with Meixner innovations |
0 |
0 |
0 |
46 |
0 |
0 |
0 |
103 |
| Global estimation of realized spot volatility in the presence of price jumps |
0 |
0 |
1 |
47 |
0 |
1 |
3 |
88 |
| Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model |
0 |
0 |
9 |
9 |
0 |
1 |
5 |
6 |
| Identifying structural shocks to volatility through a proxy-MGARCH model |
0 |
0 |
17 |
84 |
1 |
3 |
48 |
208 |
| Implied volatility string dynamics |
0 |
1 |
2 |
27 |
0 |
3 |
5 |
107 |
| Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
48 |
| Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models |
0 |
0 |
0 |
105 |
0 |
0 |
2 |
188 |
| Media-expressed tone, Option Characteristics, and Stock Return Predictability |
1 |
1 |
3 |
6 |
2 |
2 |
7 |
22 |
| Monitoring Consumption Switzerland: Data, Background, and Use Cases |
2 |
4 |
20 |
20 |
2 |
4 |
22 |
22 |
| Multivariate volatility models |
0 |
0 |
1 |
231 |
0 |
0 |
2 |
758 |
| Option data and modeling BSM implied volatility |
0 |
2 |
4 |
185 |
0 |
2 |
8 |
400 |
| Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
59 |
| Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets |
0 |
0 |
0 |
30 |
0 |
0 |
2 |
226 |
| Realized Copula |
0 |
0 |
1 |
59 |
0 |
0 |
1 |
128 |
| Realized Copula |
0 |
0 |
0 |
102 |
0 |
1 |
2 |
319 |
| Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints |
0 |
1 |
5 |
135 |
0 |
1 |
6 |
319 |
| Structural Volatility Impulse Response Analysis |
1 |
2 |
84 |
84 |
1 |
3 |
69 |
74 |
| Textual Sentiment, Option Characteristics, and Stock Return Predictability |
0 |
0 |
1 |
5 |
0 |
0 |
3 |
24 |
| Textual Sentiment, Option Characteristics, and Stock Return Predictability |
0 |
0 |
6 |
133 |
3 |
5 |
19 |
315 |
| The analysis of implied volatilities |
0 |
0 |
0 |
83 |
0 |
0 |
0 |
393 |
| The dynamics of implied volatilities: A common principal components approach |
0 |
0 |
2 |
144 |
0 |
1 |
4 |
648 |
| The dynamics of implied volatilities: a common principal components approach |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
33 |
| Total Working Papers |
7 |
18 |
177 |
3,507 |
14 |
45 |
292 |
9,489 |
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