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Publications by Joss Fajardo

A New Factor to Explain Implied Volatility Smirk

SSRN Electronic Journal

English

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Intraday Volatility Forecasting From Implied Volatility

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Long Memory Persistence in the Factor of Implied Volatility Dynamics

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A Gaussian Semi-Parametric Implied Volatility Model

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Implied Volatility Functions: Empirical Tests

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A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew

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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

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Implied Distribution as a Function of the Volatility Smile

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Sample and Implied Volatility in GARCH Models

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Implied and Local Volatilities Under Stochastic Volatility

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