Foreign exchange, fractional cointegration and the implied–realized volatility relation
Year of publication: |
2010
|
---|---|
Authors: | Kellard, Neil ; Dunis, Christian ; Sarantis, Nicholas |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 34.2010, 4, p. 882-891
|
Subject: | Devisenoption | Currency option | Effizienzmarkthypothese | Efficient market hypothesis | Kointegration | Cointegration | USA | United States | 1991-2007 |
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