Causal relationship between FT-SE 100 stock index futures volatility and FT-SE 100 index options implied volatility
Lampros Kalyvas, Nikolaos Dritsakis
| Year of publication: |
2017
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|---|---|
| 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 | Index-Futures | Index futures | Kausalanalyse | Causality analysis | Aktienindex | Stock index | Börsenkurs | Share price | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011991716