Forecast performance of implied volatility and the impact of the volatility risk premium
Year of publication: |
2009-07-21
|
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Authors: | Becker, Ralf ; Clements, Adam ; Coleman-Fenn, Christopher |
Institutions: | National Centre for Econometric Research (NCER) |
Subject: | Implied volatility | volatility forecasts | volatility models | volatility risk premium | model confidence sets |
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