The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
Year of publication: |
2007-06-06
|
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Authors: | Busch, Thomas ; Christensen, Bent Jesper ; Nielsen, Morten Ørregaard |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Bipower variation | HAR | Heterogeneous Autoregressive Model | implied volatility | jumps | options | realized volatility | VecHAR | volatility forecasting |
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