Cross-section stock return and implied covariance between jump and diffusive volatility
Year of publication: |
2015
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Authors: | Ze-To, Samuel Yau Man |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 34.2015, 5, p. 379-390
|
Subject: | option-implied covariance | implied volatility | cross-sectional stock return | Volatilität | Volatility | Kapitaleinkommen | Capital income | Optionspreistheorie | Option pricing theory | Korrelation | Correlation | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Schätzung | Estimation |
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