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Option Returns and Conditional Serial Correlation in Currency Markets

https://doi.org/10.2139/ssrn.3221887
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Option traders use (very) sophisticated heuristics, never the Black–Scholes–Merton formula
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Testing for jumps when asset prices are observed with noise–a “swap variance” approach
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The VIX, the variance premium and stock market volatility
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Variance risk premiums in foreign exchange markets
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Cross section of option returns and idiosyncratic stock volatility
inferredcites →https://doi.org/10.1016/j.jfineco.2016.02.015openalex-extracted
Volatility risk premia and exchange rate predictability
inferredcites →https://doi.org/10.1016/j.jfineco.2017.02.002openalex-extracted
Variance risk premiums and the forward premium puzzle
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Liquidity provision in the overnight foreign exchange market
inferredcites →https://doi.org/10.1016/j.jimonfin.2013.08.018openalex-extracted
Currency jumps, cojumps and the role of macro news
inferredcites →https://doi.org/10.1016/s0261-5606(97)00021-1openalex-extracted
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Theory of Financial Risk and Derivative Pricing
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The Volatility Risk Premium Embedded in Currency Options
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Testing and Modeling Threshold Autoregressive Processes
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Alternative Variance-Ratio Tests Using Ranks and Signs
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A re-examination of variance-ratio test of random walks in foreign exchange rates
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Some Relations Between Volatility and Serial Correlations in Stock Market Returns
inferredcites →https://doi.org/10.1088/1469-7688/3/5/604openalex-extracted
Trend following and option writing—a surprising portfolio
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Power and Bipower Variation with Stochastic Volatility and Jumps
inferredcites →https://doi.org/10.1093/rfs/9.1.69openalex-extracted
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
inferredcites →https://doi.org/10.1093/rfs/hhg002openalex-extracted
Delta-Hedged Gains and the Negative Market Volatility Risk Premium
inferredcites →https://doi.org/10.1093/rfs/hhn038openalex-extracted
Variance Risk Premiums
inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-extracted
Expected Stock Returns and Variance Risk Premia
inferredcites →https://doi.org/10.1093/rof/rfm024openalex-extracted
An Empirical Portfolio Perspective on Option Pricing Anomalies
inferredcites →https://doi.org/10.1093/rof/rfw072openalex-extracted
Bond Variance Risk Premiums
inferredcites →https://doi.org/10.1111/0022-1082.00352openalex-extracted
Expected Option Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1988.tb04594.xopenalex-extracted
Liquidity and Market Structure
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02654.xopenalex-extracted
Options Arbitrage in Imperfect Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb02686.xopenalex-extracted
A Variance-Ratio Test of Random Walks in Foreign Exchange Rates
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb05168.xopenalex-extracted
Implementing Option Pricing Models When Asset Returns Are Predictable
inferredcites →https://doi.org/10.1111/jofi.12053openalex-extracted
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
inferredcites →https://doi.org/10.1142/s2010139214500153openalex-extracted
Why Are Put Options So Expensive?
inferredcites →https://doi.org/10.1214/07-aos568openalex-extracted
Testing for jumps in a discretely observed process
inferredcites →https://doi.org/10.1515/9781400830213openalex-extracted
The Econometrics of Financial Markets
inferredcites →https://doi.org/10.2139/ssrn.1447869openalex-extracted
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
inferredcites →https://doi.org/10.2139/ssrn.2252209openalex-extracted
The VIX, the Variance Premium and Stock Market Volatility
inferredcites →https://doi.org/10.2139/ssrn.2831362openalex-extracted
Option Pricing Methods in the Late 19th Century
inferredcites →https://doi.org/10.2139/ssrn.2892114openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2909163openalex-extracted
The Timing of Option Returns
inferredcites →https://doi.org/10.2139/ssrn.889947openalex-extracted
Option Returns and Volatility Mispricing
inferredcites →https://doi.org/10.2307/1392131openalex-extracted
inferredcites →https://doi.org/10.2307/2118454openalex-extracted
Trading Volume and Serial Correlation in Stock Returns
inferredcites →https://doi.org/10.2307/2234525openalex-extracted
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data
inferredcites →https://doi.org/10.2307/2289868openalex-extracted
inferredcites →https://doi.org/10.2469/faj.v44.n5.80openalex-extracted
A Simple Formula to Compute the Implied Standard Deviation
inferredcites →https://doi.org/10.4310/sii.2011.v4.n2.a1openalex-extracted
Threshold models in time series analysis — 30 years on
inferredcites →https://doi.org/10.1016/j.jfineco.2020.08.010openalex-snapshot
The Cross-Section of Currency Volatility Premia
inferredcites →https://doi.org/10.1093/rfs/hhp032openalex-snapshot
Understanding Index Option Returns
inferredcites →https://doi.org/10.2139/ssrn.2133999openalex-snapshot
Global Variance Risk Premium and Forex Return Predictability
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