Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?
Year of publication: |
2007-06
|
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Authors: | Martin, Gael M. ; Reidy, Andrew ; Wright, Jill |
Institutions: | Department of Econometrics and Business Statistics, Monash Business School |
Subject: | Volatility Forecasts | Quadratic Variation | Intraday Volatility Measures |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 5/07 41 pages |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing |
Source: |
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Martin, Gael M., (2006)
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Stochastic volatility, jumps and hidden time changes
Yor, Marc, (2002)
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The relationship between the volatility of returns and the number of jumps in financial markets
Cartea, Alvaro, (2009)
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Martin, Gael M., (2006)
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Forbes, Catherine S., (2003)
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Does the option market produce superior forecasts of noise-corrected volatility measures?
Martin, Gael M., (2009)
- More ...