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Time-varying jump tails

Citations

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Cited by:

  1. Horvath, Jaroslav, 2019. "Isolating the disaster risk premium with equity options," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 138-148.
  2. Daly, Kevin & Batten, Jonathan A. & Mishra, Anil V. & Choudhury, Tonmoy, 2019. "Contagion risk in global banking sector," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  3. Matthias Fengler & Winfried Koeniger & Stephan Minger, 2024. "The Transmission of Monetary Policy to the Cost of Hedging," CESifo Working Paper Series 11556, CESifo.
  4. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2017. "Short-Term Market Risks Implied by Weekly Options," Journal of Finance, American Finance Association, vol. 72(3), pages 1335-1386, June.
  5. Song, Shijia & Tian, Fei & Li, Handong, 2021. "An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution," Journal of Asian Economics, Elsevier, vol. 74(C).
  6. Todorov, Viktor & Zhang, Yang, 2023. "Bias reduction in spot volatility estimation from options," Journal of Econometrics, Elsevier, vol. 234(1), pages 53-81.
  7. Du Du & Dan Luo, 2019. "The Pricing of Jump Propagation: Evidence from Spot and Options Markets," Management Science, INFORMS, vol. 67(5), pages 2360-2387, May.
  8. Nicolau, João & Rodrigues, Paulo M.M. & Stoykov, Marian Z., 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Journal of Econometrics, Elsevier, vol. 235(2), pages 2266-2284.
  9. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor, 2015. "The risk premia embedded in index options," Journal of Financial Economics, Elsevier, vol. 117(3), pages 558-584.
  10. Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato, 2021. "Tail risk and return predictability for the Japanese equity market," Journal of Econometrics, Elsevier, vol. 222(1), pages 344-363.
  11. Dierkes, Maik & Hollstein, Fabian & Prokopczuk, Marcel & Würsig, Christoph Matthias, 2024. "Measuring tail risk," Journal of Econometrics, Elsevier, vol. 241(2).
  12. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2015. "The Pricing of Short-Term market Risk: Evidence from Weekly Options," NBER Working Papers 21491, National Bureau of Economic Research, Inc.
  13. Li, Zhenxiong & Yao, Xingzhi & Izzeldin, Marwan, 2023. "On the right jump tail inferred from the VIX market," International Review of Financial Analysis, Elsevier, vol. 86(C).
  14. Todorov, Viktor, 2022. "Nonparametric jump variation measures from options," Journal of Econometrics, Elsevier, vol. 230(2), pages 255-280.
  15. Wong, Patrick, 2023. "Explaining intraday crude oil returns with higher order risk-neutral moments," Journal of Commodity Markets, Elsevier, vol. 31(C).
  16. Fengler, Matthias & Koeniger, Winfried & Minger, Stephan, 2025. "The Transmission of Monetary Policy to the Cost of Hedging," Economics Working Paper Series 2501, University of St. Gallen, School of Economics and Political Science.
  17. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2019. "The risk premium of gold," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 140-159.
  18. Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications," Working Papers 2023-016, Federal Reserve Bank of St. Louis.
  19. Fengler, Matthias & Koeniger, Winfried & Minger, Stephan, 2024. "The transmission of monetary policy to the cost of hedging," CFS Working Paper Series 726, Center for Financial Studies (CFS).
  20. Boswijk, H. Peter & Laeven, Roger J.A. & Yang, Xiye, 2018. "Testing for self-excitation in jumps," Journal of Econometrics, Elsevier, vol. 203(2), pages 256-266.
  21. Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015. "Tail risk premia and return predictability," Journal of Financial Economics, Elsevier, vol. 118(1), pages 113-134.
  22. Hitesh Doshi & Hyung Joo Kim & Sang Byung Seo, 2023. "Options on Interbank Rates and Implied Disaster Risk," Finance and Economics Discussion Series 2023-054, Board of Governors of the Federal Reserve System (U.S.).
  23. Masato Ubukata, 2022. "A time-varying jump tail risk measure using high-frequency options data," Empirical Economics, Springer, vol. 63(5), pages 2633-2653, November.
  24. Ayala, Astrid & Blazsek, Szabolcs, 2019. "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics 28133, Universidad Carlos III de Madrid. Departamento de Economía.
  25. Ayala, Astrid & Blazsek, Szabolcs, 2017. "Dynamic conditional score models with time-varying location, scale and shape parameters," UC3M Working papers. Economics 25043, Universidad Carlos III de Madrid. Departamento de Economía.
  26. Sonnan Chen & Yuchi Gu, 2021. "Joint estimation of volatility risk and tail risk premia with time-varying macro-state-dependent property," Review of Quantitative Finance and Accounting, Springer, vol. 56(4), pages 1357-1397, May.
  27. Masato Ubukata, 2019. "Jump tail risk premium and predicting US and Japanese credit spreads," Empirical Economics, Springer, vol. 57(1), pages 79-104, July.
  28. Ahn, Jungkyu & Ahn, Yongkil, 2023. "The tail risk surface," Finance Research Letters, Elsevier, vol. 58(PC).
  29. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
  30. Jiang, Zhengyun & Zhou, Xin, 2024. "Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 378-399.
  31. Ayala, Astrid & Blazsek, Szabolcs, 2019. "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics 28638, Universidad Carlos III de Madrid. Departamento de Economía.
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