Оценка волатильности


[1] Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian T.Andersen et.al., 1999
[2] Towards a Theory of Volatility Trading, P.Carr and D.Madan, 1998
[3] Forecasting S&P 100 Volatility: The Increment Information Content of Implied Volatilities and High Frequency Index Returns, B.J.Blair et.al., 2000
[4] Derivatives on Volatility: Some Simple Solutions Based on Observables, S.L.Hestib and S.Nandi, 2000
[5] Consequences for Option Pricing of a Long Memory in Volatility, S.J.Taylor, 2000
[6] Forward rate Volatilities, SWAP Rate Volatilities, and the Implementation of the LIBOR Market Model, J.Hull and A.White, 1999
[7] Nonlinear Features of Realized FX Volatility, J.Maheu and T.McCurdy, 2001
[8] Volatility Dynamics under Duration-dependent Mixing, J.Maheu and T.McCurdy, 2000
[9] Identifying Bull and Bear Markets in Stock Returns, J.maheu and T.McCurdy, 2000
[10] Modeling and Forecasting Realized Volatility, T.Andersen et.al., 2001
[11] The Realized Volatility of FTSE-100 Futures Prices, N.Areal and S.Taylor, 2000
[12] The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets, C.S.Jones, 2000
[13] Dynamic Hedging in a Volatile Market, T.F.Coleman et.al., 1999
[14] Implied Trinomial Trees of the Volatility Smile, E.Derman et.al., 1996
[15] Expectations Hypothesis of the Term Structure of Implied Volatility: Re-examination, S.Byoun et.al., 1999
[16] The Price of a Smile: Hedging and Spanning in Option Markets, A.Buraschi and J.jackwerth, 2000
[17] Implied Volatility Skews and Stock index Skewness and Kurtosis Implied by S&P500 Index Option Prices, C.J.Corrado and t.Su, 1997
[18] The Distribution of Stock Return Volatility, T.G.Andersen et.al., 2000
[19] Modeling and Forecasting Realized Volatility, T.G.Andersen et.al., 2001
[20] The Distribution of Exchange Rate Volatility, T.G.Andersen et.al., 1999
[21] Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns, B.J.Blair et.al., 2000
[22] Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility, E.Hol and S.L.Koopman, 2000
[23] Tree Structured GARCH Models, F.Audrino and P.Buhlmann, 2000
[24] Nonparametric GARCH Models, P.Buhlmann and A.J.McNeil, 1999