Implied Volatility with Time-Varying Regime Probabilities
Year of publication: |
2008-12
|
---|---|
Authors: | Lanne, Markku ; Ahoniemi, Katja |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Implied volatility | option markets | multiplicative error models | forecasting |
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