The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
Pierre Giot; Sébastien Laurent
| Year of publication: |
2007
|
|---|---|
| Authors: | Giot, Pierre ; Laurent, Sébastien |
| Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 27.2007, 4, p. 337-359
|
| Subject: | Index-Futures | Index futures | Volatilität | Volatility | ARCH-Modell | ARCH model | USA | United States | 1990-2003 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003493068