Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression
Year of publication: |
2015
|
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Authors: | Barunik, Jozef ; Barunikova, Michaela |
Publisher: |
Kiel : Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance |
Subject: | wavelet band spectrum regression | corridor implied volatility | realized volatility | fractional cointegration |
Series: | FinMaP-Working Paper ; 43 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 827616376 [GVK] hdl:10419/110962 [Handle] RePEc:zbw:fmpwps:43 [RePEc] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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Barunik, Jozef, (2015)
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BarunĂk, Jozef, (2016)
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Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
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Barunik, Jozef, (2015)
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Neural Networks as Semiparametric Option Pricing Tool
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Barunik, Jozef, (2012)
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