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Estimating and Forecasting Skewness Using Affine Stochastic Volatility Models

https://doi.org/10.2139/ssrn.4847874
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Valuation of VIX derivatives
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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
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The Skewness of the Stock Market over Long Horizons
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Maximum Likelihood Estimation of Latent Affine Processes
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A Bayesian Analysis of Return Dynamics with Lévy Jumps
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Expected Idiosyncratic Skewness
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Long-Horizon Stock Returns Are Positively Skewed
inferredcites →https://doi.org/10.1111/0022-1082.00278openalex-extracted
Specification Analysis of Affine Term Structure Models
inferredcites →https://doi.org/10.1111/1468-0262.00164openalex-extracted
Transform Analysis and Asset Pricing for Affine Jump-diffusions
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The Impact of Jumps in Volatility and Returns
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MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
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How Crashes Develop: Intradaily Volatility and Crash Evolution
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A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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Estimation of Continuous-Time Processes via the Empirical Characteristic Function
inferredcites →https://doi.org/10.1214/14-aap1009openalex-extracted
Exponential moments of affine processes
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Affine processes and applications in finance
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Risk Matters: The Real Effects of Volatility Shocks
inferredcites →https://doi.org/10.1257/aer.20121236openalex-extracted
Fiscal Volatility Shocks and Economic Activity
inferredcites →https://doi.org/10.1287/mnsc.1090.1065openalex-extracted
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
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On Estimating Skewness in Stock Returns
inferredcites →https://doi.org/10.1287/opre.1050.0247openalex-extracted
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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Simple and efficient simulation of the Heston stochastic volatility model
inferredcites →https://doi.org/10.2139/ssrn.139422openalex-extracted
Specification Analysis of Affine Term Structure Models
inferredcites →https://doi.org/10.2139/ssrn.1447362openalex-extracted
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well
inferredcites →https://doi.org/10.2139/ssrn.157733openalex-extracted
Transform Analysis and Asset Pricing for Affine Jump-Diffusions
inferredcites →https://doi.org/10.2139/ssrn.2732875openalex-extracted
How Crashes Develop: Intradaily Volatility and Crash Evolution
inferredcites →https://doi.org/10.2307/1911242openalex-extracted
A Theory of the Term Structure of Interest Rates
inferredcites →https://doi.org/10.2307/1912773openalex-extracted
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
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