The model-free measures and the volatility spread

Jian Chen; Xiaoquan Liu

doi:10.1080/13504850903357350

The model-free measures and the volatility spread

Jian Chen, Xiaoquan Liu

Research output: Journal Publication › Article › peer-review

2 Citations (Scopus)

Abstract

Inthisarticle, weempirically investigate the relationshipbetween realizedand risk-neutral volatilities by applying the model-free measures to FTSE-100 index and index options from April 1992 to March 2005. Based on the deviation between the risk-neutral and the physical volatilities, we estimate the volatility spread through the Generalized Method of Moments (GMM) and reveal the volatility risk aversion.

Original language	English
Pages (from-to)	1829-1833
Number of pages	5
Journal	Applied Economics Letters
Volume	17
Issue number	18
DOIs	https://doi.org/10.1080/13504850903357350
Publication status	Published - Dec 2010
Externally published	Yes

ASJC Scopus subject areas

Economics and Econometrics

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10.1080/13504850903357350

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title = "The model-free measures and the volatility spread",

abstract = "Inthisarticle, weempirically investigate the relationshipbetween realizedand risk-neutral volatilities by applying the model-free measures to FTSE-100 index and index options from April 1992 to March 2005. Based on the deviation between the risk-neutral and the physical volatilities, we estimate the volatility spread through the Generalized Method of Moments (GMM) and reveal the volatility risk aversion.",

author = "Jian Chen and Xiaoquan Liu",

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AB - Inthisarticle, weempirically investigate the relationshipbetween realizedand risk-neutral volatilities by applying the model-free measures to FTSE-100 index and index options from April 1992 to March 2005. Based on the deviation between the risk-neutral and the physical volatilities, we estimate the volatility spread through the Generalized Method of Moments (GMM) and reveal the volatility risk aversion.

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U2 - 10.1080/13504850903357350

DO - 10.1080/13504850903357350

M3 - Article

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EP - 1833

JO - Applied Economics Letters

JF - Applied Economics Letters

IS - 18

ER -

The model-free measures and the volatility spread

Abstract

ASJC Scopus subject areas

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