The information content of treasury bond options concerning future volatility and price jumps
Year of publication: |
2006
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Authors: | Busch, Thomas ; Christensen, Bent Jesper ; Nielsen, Morten Ørregaard |
Publisher: |
Kingston (Ontario) : Queen's University, Department of Economics |
Subject: | Rentenmarkt | Termingeschäft | Volatilität | Schock | ARCH-Modell | Zeitreihenanalyse | bipower variation | bond futures options | HAR | Heterogeneous Autoregressive Model | implied volatility | jumps | realized volatility | VecHAR | volatility forecasting |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 590064770 [GVK] hdl:10419/67881 [Handle] |
Classification: | C22 - Time-Series Models ; C32 - Time-Series Models ; G1 - General Financial Markets |
Source: |
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The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps
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