Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach
Year of publication: |
2011-02-11
|
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Authors: | Bach, Christian ; Christensen, Bent Jesper |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Autoregression | bipower variation | high-frequency data | implied volatility | integrated volatility | Kalman fi?lter | moving average | option prices | realized volatility | state space model | stochastic volatility |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 3 pages long |
Classification: | C32 - Time-Series Models ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; G17 - Financial Forecasting |
Source: |
-
Level Shifts in Volatility and the Implied-Realized Volatility Relation
Christensen, Bent Jesper, (2010)
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Measuring causality between volatility and returns with high-frequency data
Dufour, Jean-Marie, (2008)
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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie, (2011)
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Bach, Christian, (2011)
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