Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
Year of publication: |
2007-11-15
|
---|---|
Authors: | Christoffersen, Peter ; Jacobs, Kris ; Mimouni, Karim |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Stochastic volatility | option valuation | particle filtering | skewness | kurtosis | mean reversion |
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