Long memory and the relation between implied and realized volatility
Year of publication: |
2006
|
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Authors: | Bandi, Federico M. ; Perron, Benoit |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 4.2006, 4, p. 636-670
|
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Kointegration | Cointegration | Regressionsanalyse | Regression analysis |
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