Work

Bias reduction in spot volatility estimation from options

Year: 2021

Type: article

Source: Journal of Econometrics

DOI: 10.1016/j.jeconom.2021.12.001

Authors: Viktor Todorov, Yang Zhang

Institution: Northwestern University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4200395581

FWCI: 1.644

Cites: 47

Cited by: 14

Related to: 10