The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices
Year of publication: |
2005-11
|
---|---|
Authors: | Christensen, Bent Jesper ; Nielsen, Morten Ørregaard |
Institutions: | Economics Department, Queen's University |
Subject: | Bipower variation | implied volatility | instrumental variables | jumps | options | realized volatility | stock prices | vector autoregressive model | volatility forecasting |
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