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Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index
The CBOE9s VIX index is a measure of the implied volatility (IV) in 30-day stock index options. Originally constructed as a weighted average of Black-Scholes IVs from 8 at the money calls and puts,Expand
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Absolute infrared intensities and band shapes in pure solid CO and CO in some solid matrices
The infrared absorption spectra of carbon monoxide in argon matrices have been studied over a wide range of CO concentrations. The absolute infrared intensities of pure crystalline CO and of CO inExpand
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A Nonparametric Approach to the Estimation of Diffusion Processes - With an Application to a Short-Term Interest Rate Model
In this paper, we propose a nonparametric identification and estimation procedure for an ltd diffusion process based on discrete sampling observations. The nonparametric kernel estimator for theExpand
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Estimation of Continuous-Time Processes via the Empirical Characteristic Function
This article examines the class of continuous-time stochastic processes commonly known as affine diffusions (AD's) and affine jump diffusions (AJD's). By deriving the joint characteristic function,Expand
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Do Mutual Funds Time the Market? Evidence from Portfolio Holdings
Previous research finds insignificant market-timing ability for mutual funds using tests based on fund returns. The return-based tests, however, are subject to the ‘‘artificial timing’’ bias. In thisExpand
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Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities
This paper develops a nonparametric model of interest rate term structure dynamics based on a spot rate process that permits only positive interest rates and a market price of interest rate risk thatExpand
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The determinants of Dutch capital structure choice
This paper uses the structural equation modeling (SEM) technique to empirically test the determinants of capital structure choice for Dutch firms. We include major factors identified by capitalExpand
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Stock Price Jumps and Cross-Sectional Return Predictability
We identify large discontinuous changes, known as jumps, in daily stock prices and explore the role of jumps in cross-sectional stock return predictability. Our results show that small and illiquidExpand
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Information Shocks, Liquidity Shocks, Jumps, and Price Discovery: Evidence from the U.S. Treasury Market
In this paper, we identify jumps in U.S. Treasury-bond (T-bond) prices and investigate what causes such unexpected large price changes. In particular, we examine the relative importance ofExpand
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Linear-Quadratic Term Structure Models – Toward the Understanding of Jumps in Interest Rates
We study linear-quadratic term structure models with random jumps in the short rate process where the jump arrival rate follows a stochastic process. Empirical results based on the US data show thatExpand
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