Causal relationship between FT-SE 100 stock index futures volatility and FT-SE 100 index options implied volatility
Year of publication: |
2017
|
---|---|
Authors: | Kalyvas, Lampros ; Dritsakis, Nikolaos |
Published in: |
Journal of financial management and analysis : international review of finance. - Mumbai : [Verlag nicht ermittelbar], ISSN 0970-4205, ZDB-ID 1072082-0. - Vol. 30.2017, 2, p. 58-64
|
Subject: | Implied Volarility | Black Model | Stationarity | Granger Causality | Volatilität | Volatility | Kausalanalyse | Causality analysis | Index-Futures | Index futures | Aktienindex | Stock index |
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