Nonlinear adjustments of volatility expectations to forecast errors : evidence from Markov-Regime switches in implied volatility
Kazuhiko Nishina; Nabil Maghrebi; Mark J. Holmes
| Year of publication: |
2012
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|---|---|
| Authors: | Nishina, Kazuhiko ; Maghrebi, Nabil ; Holmes, Mark J. |
| Published in: |
Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 15.2012, 3, p. 1-23
|
| Subject: | Optionsgeschäft | Option trading | Volatilität | Volatility | Markov-Kette | Markov chain | Deutschland | Germany | Japan | USA | United States |
| 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/10009671277