Alami, Ali; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2001
model-free methods of volatility forecasting do not exist any more than do arbitrage opportunities (free lunches) in …The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for … volatility risk: i.e. the model risk generated by treating the volatility as a constant parameter, when it is in fact volatile …