656
Views
7
CrossRef citations to date
0
Altmetric
Research Papers

Buy rough, sell smooth

&
Pages 363-378 | Received 12 Dec 2018, Accepted 20 Sep 2019, Published online: 18 Nov 2019

References

  • Abi Jaber, E. and El Euch, O., Multi-factor approximation of rough volatility models. preprint arXiv:1801.10359, 2018.
  • Amihud, Y., Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets, 2002, 5(1), 31–56. doi: 10.1016/S1386-4181(01)00024-6
  • Ang, A., Hodrick, R.J., Xing, Y. and Zhang, X., The cross-section of volatility and expected returns. J. Finance, 2006, 61(1), 259–299. doi: 10.1111/j.1540-6261.2006.00836.x
  • Barndorff-Nielsen, O.E., Hansen, P.R., Lunde, A. and Shephard, N., Realized kernels in practice: Trades and quotes. Econom. J., 2009, 12(3), C1–C32. doi: 10.1111/j.1368-423X.2008.00275.x
  • Bayer, C., Friz, P. and Gatheral, J., Pricing under rough volatility. Quant. Finance, 2016, 16(6), 887–904. doi: 10.1080/14697688.2015.1099717
  • Bennedsen, M., Lunde, A. and Pakkanen, M.S., Decoupling the short- and long-term behavior of stochastic volatility. Working Paper, 2016.
  • Bergomi, L., Smile dynamics IV (June 1, 2009). doi:10.2139/ssrn.1520443.
  • Bergomi, L. and Guyon, J., Stochastic volatility's orderly smiles. Risk, 2012, 25(5), 60.
  • Carhart, M.M., On persistence in mutual fund performance. J. Finance, 1997, 52(1), 57–82. doi: 10.1111/j.1540-6261.1997.tb03808.x
  • Carr, P. and Wu, L., Variance risk premiums. Rev. Financ. Stud., 2008, 22(3), 1311–1341. doi: 10.1093/rfs/hhn038
  • Conrad, J., Dittmar, R.F. and Ghysels, E., Ex ante skewness and expected stock returns. J. Finance, 2013, 68(1), 85–124. doi: 10.1111/j.1540-6261.2012.01795.x
  • El Euch, O., Fukasawa, M., Gatheral, J. and Rosenbaum, M., Short-term at-the-money asymptotics under stochastic volatility models. preprint arXiv:1801.08675, 2018a.
  • El Euch, O., Fukasawa, M. and Rosenbaum, M., The microstructural foundations of leverage effect and rough volatility. Finance Stochastics, 2018b, 22(2), 241–280. doi: 10.1007/s00780-018-0360-z
  • Fama, E.F. and French, K.R., Common risk factors in the returns on stocks and bonds. J. Financ. Econ., 1993, 33(1), 3–56. doi: 10.1016/0304-405X(93)90023-5
  • Fama, E.F. and French, K.R., A five-factor asset pricing model. J. Financ. Econ., 2015, 116(1), 1–22. doi: 10.1016/j.jfineco.2014.10.010
  • Fama, E.F. and MacBeth, J.D., Risk, return, and equilibrium: Empirical tests. J. Political Econ., 1973, 81(3), 607–636. doi: 10.1086/260061
  • Forde, M. and Zhang, H., Asymptotics for rough stochastic volatility models. SIAM J. Financ. Math., 2017, 8(1), 114–145. doi: 10.1137/15M1009330
  • Fukasawa, M., Asymptotic analysis for stochastic volatility: Martingale expansion. Finance Stochastics, 2011, 15(4), 635–654. doi: 10.1007/s00780-010-0136-6
  • Fukasawa, M., Short-time at-the-money skew and rough fractional volatility. Quant. Finance, 2017, 17(2), 189–198. doi: 10.1080/14697688.2016.1197410
  • Garnier, J. and Sølna, K., Option pricing under fast-varying and rough stochastic volatility. Ann. Finance, 2018, 14(4), 489–516. doi: 10.1007/s10436-018-0325-4
  • Gatheral, J., Jaisson, T. and Rosenbaum, M., Volatility is rough. Quant. Finance, 2018, 18(6), 933–949. doi: 10.1080/14697688.2017.1393551
  • Jusselin, P. and Rosenbaum, M., No-arbitrage implies power-law market impact and rough volatility. preprint arXiv:1805.07134, 2018.
  • Livieri, G., Mouti, S., Pallavicini, A. and Rosenbaum, M., Rough volatility: Evidence from option prices. IISE Trans., 2018, 50(9), 767–776. doi: 10.1080/24725854.2018.1444297
  • Lucca, D.O. and Moench, E., The pre-FOMC announcement drift. J. Finance, 2015, 70(1), 329–371. doi: 10.1111/jofi.12196
  • Mandelbrot, B.B. and Van Ness, J.W., Fractional Brownian motions, fractional noises and applications. SIAM Rev., 1968, 10(4), 422–437. doi: 10.1137/1010093
  • Newey, W.K. and West, K.D., A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 1987, 55(3), 703–708. doi: 10.2307/1913610
  • Petersen, M.A., Estimating standard errors in finance panel data sets: comparing approaches. Rev. Financ. Stud., 2009, 22(1), 435–480. doi: 10.1093/rfs/hhn053
  • Samorodnitsky, G. and Taqqu, M., Non-Gaussian Stable Processes: Stochastic Models with Infinite Variance, 1994 (Chapman and Hall: London).
  • Xing, Y., Zhang, X. and Zhao, R., What does the individual option volatility smirk tell us about future equity returns. J. Financ. Quant. Anal., June 2010, 45, 641–662. doi: 10.1017/S0022109010000220

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.