Measuring high-frequency causality between returns, realized volatility, and implied volatility
Jean-Marie Dufour; René Garcia; Abderrahim Taamouti
| Year of publication: |
2012
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|---|---|
| Authors: | Dufour, Jean-Marie ; Garcia, René ; Taamouti, Abderrahim |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 10.2012, 1, p. 124-163
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| Subject: | Volatilität | Volatility | Schätzung | Estimation | Kapitaleinkommen | Capital income | Kausalanalyse | Causality analysis | Börsenkurs | Share price | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| 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/10009519709