Moving beyond Volatility Index (VIX) : HARnessing the term structure of implied volatility
Year of publication: |
2022
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Authors: | Clements, Adam ; Liao, Yin ; Tang, Yusui |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 41.2022, 1, p. 86-99
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Subject: | curvature | HAR model | implied volatility term structure | realized volatility | slope | VIX | Volatilität | Volatility | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Aktienindex | Stock index |
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