Level Shifts in Volatility and the Implied-Realized Volatility Relation
Year of publication: |
2010-09-09
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Authors: | Christensen, Bent Jesper ; Magistris, Paolo Santucci de |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Common level shifts | fractional cointegration | fractional VECM | implied volatility | long memory | options | realized volatility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 3 pages long |
Classification: | C32 - Time-Series Models ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; G17 - Financial Forecasting |
Source: |
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