Aıt-Sahalia, Y. and Kimmel, R. (2007). Maximum likelihood estimation of stochastic volatility models, Journal of Financial Economics 83: 413–452.
Alexander, C. and Nogueira, L. M. (2007). Model-free hedge ratios and scale-invariant models, Journal of Banking and Finance 31(6): 1839–1861.
Andersen, T. G., Bollerslev, T., Diebold, F. X. and Ebens, H. (2001). The distribution of realized stock return volatility, Journal of Financial Economics 61: 43–76.
Andersen, T. G., Bollerslev, T., Diebold, F. X. and Labys, P. (2001). The distribution of realized exchange rate volatility, Journal of the American Statistical Association 96: 42–55.
Andersen, T. G., Bollerslev, T., Diebold, F. X. and Labys, P. (2003). Modelling and forecasting realized volatility, Econometrica 71: 579–625.
Andersen, T. G., Fusari, N. and Todorov, V. (2012). Parametric inference and dynamic state recovery from option panels, Working Paper 18046, National Bureau of Economic Research.
Audrino, F. and Knaus, S. (2012). Lassoing the HAR model: A model selection perspective on realized volatility dynamics, Technical report, St. Gallen University.
Bakshi, G., Cao, C. and Chen, Z. (1997). Empirical performance of alternative option pricing models, Journal of Finance 52(5): 2003–2049.
- Bakshi, G., Cao, C. and Chen, Z. (2000a). Do call and underlying prices always move in the same direction?, Review of Financial Studies 13(3): 549–584.
Paper not yet in RePEc: Add citation now
Bakshi, G., Cao, C. and Chen, Z. (2000b). Pricing and hedging long-term options, Journal of Econometrics 94: 277–318.
Bakshi, G., Madan, D. and Panayotov, G. (2010). Returns of claims on the upside and the viability of U-shaped pricing kernels, Journal of Financial Economics 97: 130–154.
Bandi, F. M. and Russel, J. R. (2006). Separating microstructure noise from volatility, Journal of Financial Economics 79(3): 655–692.
- Barndorff-Nielsen, O. E. and Shepard, N. (2001a). Econometric analysis of realised volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical Society B 64: 253–280.
Paper not yet in RePEc: Add citation now
- Barndorff-Nielsen, O. E. and Shepard, N. (2001b). Non-Gaussian Ornstein-Uhlenbeckmodels and some of their uses in ï¬nancial economics, Journal of the Royal Statistical Society B 63: 167–241.
Paper not yet in RePEc: Add citation now
- Barndorff-Nielsen, O. E. and Shepard, N. (2002). Estimating quadratic variation using realized variance, Journal of Applied Econometrics 17: 457–477.
Paper not yet in RePEc: Add citation now
- Barndorff-Nielsen, O. E. and Shepard, N. (2004). Power and bipower variation with stochastic volatility and jumps, Journal of Financial Econometrics 2(1): 1–37.
Paper not yet in RePEc: Add citation now
Barndorff-Nielsen, O. E., Hansen, P. R., L. A. and Shepard, N. (2009). Realised kernels in practice: trades and quotes, Econometrics Journal 12(3): C1–C32.
Bates, D. S. (1996). Dollar jump fears, 1984:1992, distributional anomalies implicit in currency futures options, Journal of International Money and Finance 15: 65–93.
Bates, D. S. (2000). Post-’87 crash fears in the S&P 500 futures option market, Journal of Econometrics 94: 181–238.
Bates, D. S. (2005). Hedging the smirk, Finance Research Letters 2(4): 195–200.
Bergman, Y. Z., Grundy, B. D. and Wiener, Z. (1996). General properties of option prices, Journal of Finance 51: 1573–1610.
- Bergomi, L. (2004). Smile dynamics, RISK 17(9): 117–123.
Paper not yet in RePEc: Add citation now
Black, F. and Scholes, M. (1973). The pricing of options and corporate liabilities, Journal of Political Economy 81: 637–654.
Bollen, N. and Whaley, R. E. (2004). Does net buying pressure affect the shape of the implied volatility functions?, Journal of Finance 59(2): 711–753.
Bollerslev, T. and Todorov, V. (2011). Tails, fears, and risk premia, Journal of Finance 66(6): 2165–2211.
Broadie, M., Chernov, M. and Johannes, M. (2007). Model speciï¬cation and risk premia: Evidence from futures options, Journal of Finance 62(3): 1453–1490.
Broadie, M., Chernov, M. and Johannes, M. (2009). Understanding index option returns, Review of Financial Studies 22: 4493–4529.
- Carr, P. and Madan, D. B. (1999). Option valuation using the fast Fourier transform, Journal of Computational Finance 2(4): 61–73.
Paper not yet in RePEc: Add citation now
Carr, P. and Wu, L. (2007). Stochastic skew in currency options, Journal of Financial Economics 86(1): 213–247.
Christoffersen, P. and Jacobs, K. (2004). Which GARCH model for option valuation?, Management Science 50(9): 1204–1221.
Christoffersen, P., Feunou, B., Jacobs, K. and Meddahi, N. (2012). The economic value of realized volatility: Using high-frequency returns for option valuation, Working paper, Rotman School of Management, University of Toronto.
Christoffersen, P., Heston, S. and Jacobs, K. (2009). The shape and term structure of the index option smirk: Why multifactor stochastic volatility models work so well, Management Science 55(12): 1914–1932.
Christoffersen, P., Jacobs, K. and Mimouni, K. (2010). Volatility dynamics for the S&P500: Evidence from realized volatility, daily returns and option prices, Review of Financial Studies 23(8): 3141–3189.
Constantinides, G. M., Jackwerth, J. C. and Savov, A. (2011). The puzzle of index option returns, Technical report, Konstanz University.
Corsi, F., Fusari, N. and La Vecchia, D. (2013). Realizing smiles: Options pricing with realized volatility, Journal of Financial Economics 107: 284–304.
Coval, J. D. and Shumway, T. (2001). Expected option returns, Journal of Finance 56: 983–1009.
Cox, J. E. and Ross, S. A. (1976). The valuation of options for alternative stochastic processes, Journal of Financial Economics 76: 145–166.
Dacorogna, M. M., Gencay, R., Muller, U., Olsen, R. B. and Pictet, O. V. (2001). An Introduction to High-Frequency Finance, Academic Press, London.
- Dalang, R. C., Morton, A. and Willinger, W. (1990). Equivalent martingale measures and no-arbitrage in stochastic securities market models, Stochastics 29: 185–201.
Paper not yet in RePEc: Add citation now
de Pooter, M., Martens, M. and van Dijk, D. (2008). Predicting the daily covariance matrix for S&P 100 stocks using intraday data – but which frequency to use?, Econometric Reviews 27(1–3): 199–229.
Dumas, B., Fleming, J. and Whaley, R. E. (1998). Implied volatility functions: Empirical tests, Journal of Finance 53(6): 2059–2106.
- Dupire, B. (1994). Pricing with a smile, RISK 7(1): 18–20.
Paper not yet in RePEc: Add citation now
Eraker, B. (2004). Do stock prices and volatility jump? reconciling evidence from spot and option prices, Journal of Finance 59(3): 1367–1404.
- Eurex Frankfurt AG (2009). Dow Jones EURO STOXX 50R⃠INDEX Index Futures (FESX).
Paper not yet in RePEc: Add citation now
- For TAQ data, 25 is the original suggestion by Barndorff-Nielsen et al. (2009). We found that somewhat too large for options data.
Paper not yet in RePEc: Add citation now
Gourieroux, C., Jasiak, J. and Sufana, R. (2009). The Wishart autoregressive processes of multivariate stochastic volatility, Journal of Econometrics 150: 167–181.
- Gruber, P., Tebaldi, C. and Trojani, F. (2010). Three make a dynamic smile – unspanned skewness and interacting volatility components in option valuation, Technical report, University of Lugano, Switzerland.
Paper not yet in RePEc: Add citation now
Han, B. (2008). Investor sentiment and option prices, Review of Financial Studies 21: 387– 414.
Hansen, P. R. and Lunde, A. (2006). Realised variance and market microstructure noise, Journal of Business and Economic Statistics 24: 127–218.
Harvey, A., Ruiz, E. and Shephard, N. (1994). Multivariate stochastic variance models, Review of Economic Studies 61: 247–264.
Heston, S. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options, Review of Financial Studies 6: 327–343.
Huang, J. Z. and Wu, L. (2004). Speciï¬cation analysis of option pricing models based on time-changed Levy processes, Journal of Finance 59: 1405–1439.
Hull, J. and White, A. (1987). The pricing of options on assets with stochastic volatilities, Journal of Finance 42: 281–300.
- Jacod, J. and Shiryaev, A. (1987). Limit Theorems for Stochastic Processes, SpringerVerlag, Berlin.
Paper not yet in RePEc: Add citation now
Jiang, G. J. and Knight, J. L. (2002). Estimation of continuous-time processes via the empirical characteristic function, Journal of Business and Economic Statistics 20(2): 198– 212.
Jones, C. S. (2003). The dynamics of stochastic volatility: Evidence from underlying and options markets, Journal of Econometrics 116: 181–224.
Jones, C. S. (2006). A nonlinear factor analysis of s&p 500 index option returns, Journal of Finance 61: 2325–2363.
- Karatzas, I. and Shreve, S. E. (1991). Brownian Motion and Stochastic Calculus, SpringerVerlag, Berlin, Heidelberg.
Paper not yet in RePEc: Add citation now
Kim, S., Shepard, N. and Chib, S. (1998). Stochastic volatility: Likelihood inference and comparison with ARCH models, Review of Economic Studies 65: 361–393.
Pan, J. (2002). The jump-risk premia implicit in options: evidence from an integrated time-series study, Journal of Financial Economics 63: 3–50.
Patton, A. (2011). Volatility forecast comparison using imperfect volatility proxies, Journal of Econometrics 160(1): 246–256.
Poteshman, A. (2001). Underreaction, overreaction, and increasing misreaction to information in the option market, Journal of Finance 56: 851–876.
- Protter, P. E. (2005). Stochastic Integration and Differential Equations, 2nd edn, SpringerVerlag, Berlin, Heidelberg.
Paper not yet in RePEc: Add citation now
- Renault, E. (1997). Econometric models of option pricing errors, in D. M. Kreps and K. F. Wallis (eds), Advances in Economics and Econometrics, Seventh World Congress, Econometric Society Monographs, Cambridge University Press, pp. 223–278.
Paper not yet in RePEc: Add citation now
Scott, L. (1987). Option pricing when the variance changes randomly: Theory, estimation, and an application, Journal of Financial and Quantitative Analysis 22: 419–37.
- Shepard, N. (1996). Statistical aspects of ARCH and stochastic volatility, in D. R. Cox, D. V. Hinkley and O. E. Barndorff-Nielsen (eds), Time Series Models in Econometrics, Finance and Other Fields, Chapman & Hall, London, pp. 1–67.
Paper not yet in RePEc: Add citation now
- Stoxx Limited (2012). Factsheet: EURO STOXX 50R⃠INDEX.
Paper not yet in RePEc: Add citation now
- These ï¬lters are standard in the literature working with daily option data to exclude observations that have unreasonably low and high implied volatility and that are thinly traded, see e.g. Bakshi et al. (2010). The time-to-maturity and strike ï¬lter is chosen to be very tight to avoid overstretching the ability of the Heston model to match the steep equity implied volatility smirk and the term structure of the implied volatility surface. When trades are routed via the EUREX trading system, counterparty risk remains with the exchange. EUREX hedges against this counterparty risk by asking for margin requirements in the form of selected collaterals, such as top-rated government bonds.
Paper not yet in RePEc: Add citation now
Todorov, V. and Tauchen, G. (2011). Volatility jumps, Journal of Business and Economic Statistics 29(3): 356–371.
Todorov, V., Tauchen, G. and Grynkiv, I. (2011). Realized Laplace transforms for estimation of jump diffusive volatility models, Technical report, Duke University.
- URL: http://www.eurexchange.com/ Ghysels, E., Harvey, A. and Renault, E. (1996). Stochastic volatility, in C. R. Rao and G. S. Maddala (eds), Handbook of Statistics, Vol. 14, North Holland, Amsterdam, chapter Statistical Methods in Finance, pp. 119–191.
Paper not yet in RePEc: Add citation now
URL: http://www.stoxx.com/indices/types/introduction.html Taylor, S. J. (1994). Modeling stochastic volatility: A review and comparative study, Mathematical Finance 4: 183–204.