Spurious long memory, uncommon breaks and the implied-realized volatility puzzle
Year of publication: |
September 2015
|
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Authors: | Kellard, Neil M. ; Jiang, Ying ; Wohar, Mark E. |
Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 56.2015, p. 36-54
|
Subject: | Implied-realized relation | Unbiasedness | Uncommon structural change | Foreign exchange | Monte Carlo simulation | Monte-Carlo-Simulation | Zeitreihenanalyse | Time series analysis | Wechselkurs | Exchange rate | Volatilität | Volatility |
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