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Construction and Interpretation of Model-Free Implied Volatility
40/40 checkable references clean · checked 2026-08-27
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
16 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
The 40 checked references that resolve
resolves10.2307/2527343
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
resolves10.1016/j.jeconom.2010.03.032
Realized volatility forecasting and market microstructure noise
resolves10.2139/ssrn.620203
Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise
resolves10.1111/1467-9868.00282
Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
resolves10.1111/1467-9868.00336
Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
resolves10.2139/ssrn.1150068
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
resolves10.1016/s0304-4076(03)00104-0
Estimation of risk-neutral densities using positive convolution approximation
resolves10.2139/ssrn.685503
Gauging the Investor Fear Gauge: Implementation Problems of the Cboe's New Volatility Index
resolves10.1111/j.1540-6261.1986.tb04495.x
Valuation of American Futures Options: Theory and Empirical Tests
resolves10.2139/ssrn.681821
Variance Dynamics: Joint Evidence from Options and High-Frequency Returns
resolves10.2139/ssrn.630003
Local Linear Density Estimation for Filtered Survival Data, with Bias Correction
resolves10.2139/ssrn.1150066
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks
resolves10.2139/ssrn.1150108
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects
The 16 references without a DOI — listed, not checked
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no DOI — not checkedModel Art
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no DOI — not checkedThe second panel plots daily returns on S&P 500 index. The bottom panel plots VIX (the thick line) and the realized volatility measure RVH (the thin line). RVH is computed using high-frequency returns over 21 trading days. VIX and RVH are annualized and given in decimal form. The vertical dashed line separates the estimation and forecast periods
no DOI — not checkedref43
no DOI — not checkedref44
no DOI — not checkedThe top panel plots the corridor variances CIV1-CIV4 scaled by MFIV. The bottom panel plots the corridor variances CIV1-CIV4 and MFIV scaled by BSIV. Research Papers
no DOI — not checkedref48
no DOI — not checkedref52
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no DOI — not checkedref58
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