Is the realized volatility good for option pricing during the recent financial crisis?
Year of publication: |
2013
|
---|---|
Authors: | Jou, Yow-Jen ; Wang, Chih-Wei ; Chiu, Wan-Chien |
Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 40.2013, 1, p. 171-188
|
Publisher: |
Springer |
Subject: | Realized volatility | Log-HAR | HAR | NGARCH | Out-of-sample pricing performance | Option pricing |
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