Palgrave Handbook of Econometrics: Applied Econometrics

(Grace) #1
George Dotsis, Raphael N. Markellos and Terence C. Mills 969

Bates, D. (1996a) Testing option pricing models. In G.S. Maddala and C.R. Rao (eds.),
Statistical Methods in Finance.Handbook of Statistics, Volume 14, pp. 567–611. Amsterdam:
Elsevier.
Bates, D. (1996b) Jumps and stochastic volatility: exchange rate processes implicit in
deutsche mark options.Review of Financial Studies 9 , 69–107.
Bates, D. (2000) Post-87 crash fears in S&P 500 futures options.Journal of Econometrics 94 ,
181–238.
Bates, D. (2006) Maximum likelihood estimation of latent affine processes.Review of
Financial Studies 19 , 909–65.
Black, F. (1976) Studies in stock price volatility changes.Proceedings of the 1976 Business
Meeting of the Business and Economic Statistics Section, American Statistical Association,
177–81.
Black, F., and M. Scholes (1973) The pricing of options and corporate liabilities.Journal of
Political Economy 81 , 637–59.
Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity.Journal of
Econometrics 31 , 307–27.
Bollerslev, T. and H. Zhou (2002) Estimating stochastic volatility diffusion using condi-
tional moments of integrated volatility.Journal of Econometrics 109 , 33–65.
Bollerslev, T. and H. Zhou (2007) Expected stock returns and variance risk premia. Working
Paper, Duke University.
Brenner, M., E.Y. Ou and J.E. Zhang (2006) Hedging volatility risk.Journal of Banking and
Finance 30 , 811–21.
Broadie, M., M. Chernov and M. Johannes (2007) Model specification and risk premiums:
the evidence from the futures options.Journal of Finance. Forthcoming.
Carr, P. and L. Wu (2004) Time-changed Lévy processes and option pricing.Journal of
Financial Economics 71 , 113–41.
Carr, P. and L. Wu (2006) A tale of two indices.Journal of Derivatives 13 , 13–29.
Carr, P. and L. Wu (2008) Variance risk premia.Review of Financial Studies. Forthcoming.
Chacko, G. and L.M. Viceira (2003) Spectral GMM estimation of continuous-time processes.
Journal of Econometrics 116 , 259–92.
Chernov, M., A.R. Gallant, E. Ghysels and G. Tauchen (2003) Alternative models for stock
price dynamics.Journal of Econometrics 116 , 225–57.
Chernov, M. and E. Ghysels (2000) A study towards a unified approach to the joint estima-
tion of objective and risk neutral measures for the purpose of option valuation.Journal
of Financial Economics 56 , 407–58.
Chourdakis, K. (2002) Continuous-time regime switching models and applications in esti-
mating processes with stochastic volatility and jumps. Working Paper 464, Queen Mary,
University of London.
Chourdakis, K. and G. Dotsis (2008) Maximum likelihood estimation and dynamic asset
allocation with non-affine volatility processes. Working Paper, University of Essex.
Christie, A. (1982) The stochastic behavior of common stock variances: value, leverage,
and interest rate effects.Journal of Financial Economics 10 , 407–32.
Christoffersen, P.F., K. Jacobs and K. Mimouni (2006) Models for S&P 500 dynamics: evi-
dence from realized volatility, daily returns, and option prices. Working Paper, McGill
University.
Clark, P.K. (1973) A subordinated stochastic process model with finite variance for
speculative prices.Econometrica 41 , 135–56.
Detemple, J. and C. Osakwe (2000) The valuation of volatility options.European Finance
Review 4 ,21–50.
Dotsis, G., D.Psychoyiosand G. Skiadopoulos (2007) An empirical comparison of con-
tinuous time models of implied volatility indices.Journal of Banking and Finance 31 ,
3584–603.
Duffie, D., J. Pan and K. Singleton (2000) Transform analysis and asset pricing for affine
jump-diffusions.Econometrica 68 , 1343–76.

Free download pdf