The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Year of publication: |
2010
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Authors: | Busch, Thomas ; Christensen, Bent Jesper ; Nielsen, Morten Ørregaard |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 160.2011, 1, p. 48-57
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Subject: | Volatilität | Volatility | Wechselkurs | Exchange rate | Theorie | Theory | Prognose | Forecast | Prognoseverfahren | Forecasting model | Rentenmarkt | Bond market |
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