Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility
Year of publication: |
2011
|
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Authors: | Dufour, Jean-Marie |
Other Persons: | Garcia, René (contributor) ; Taamouti, Abderrahim (contributor) |
Publisher: |
[2011]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Schätzung | Estimation | Theorie | Theory | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Kausalanalyse | Causality analysis | Prognoseverfahren | Forecasting model |
Extent: | 1 Online-Ressource (-1 p) |
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Series: | CIRANO Scientific Publication ; No. 2011s-27 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 4, 2011 erstellt |
Other identifiers: | 10.2139/ssrn.1777282 [DOI] |
Classification: | G1 - General Financial Markets ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; C1 - Econometric and Statistical Methods: General ; C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications |
Source: | ECONIS - Online Catalogue of the ZBW |
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