Nonlinear adjustments of volatility expectations to forecast errors : evidence from Markov-Regime switches in implied volatility
Year of publication: |
2012
|
---|---|
Authors: | Nishina, Kazuhiko ; Maghrebi, Nabil ; Holmes, Mark J. |
Published in: |
Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 15.2012, 3, p. 1-23
|
Subject: | Optionsgeschäft | Option trading | Volatilität | Volatility | Markov-Kette | Markov chain | Deutschland | Germany | Japan | USA | United States |
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