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Contribution to Book
Identifying a Source of Financial Volatility
Identification and Inference for Econometric Models (2005)
  • Douglas G Steigerwald, University of California, Santa Barbara
  • Richard Vagnoni
Abstract
How should one combine stock and option markets in models of trade and asset price volatility? We address this question, paying particular attention to the identification of parameters of interest.
Keywords
  • asset price volatility,
  • identification,
  • microstructure model estimation,
  • option markets
Publication Date
2005
Editor
Donald Andrews and James Stock
Publisher
Cambridge University
Citation Information
Douglas G Steigerwald and Richard Vagnoni. "Identifying a Source of Financial Volatility" Identification and Inference for Econometric Models (2005)
Available at: http://works.bepress.com/douglas_steigerwald/21/