Moving beyond Volatility Index (VIX) : HARnessing the term structure of implied volatility
Adam Clements, Yin Liao, Yusui Tang
| 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 | Schätzung | Estimation | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2797 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012796271