Spurious long memory, uncommon breaks and the implied-realized volatility puzzle
Neil M. Kellard, Ying Jiang, Mark Wohar
| Year of publication: |
September 2015
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|---|---|
| Authors: | Kellard, Neil M. ; Jiang, Ying ; Wohar, Mark E. |
| Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 56.2015, p. 36-54
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| Subject: | Implied-realized relation | Unbiasedness | Uncommon structural change | Foreign exchange | Monte Carlo simulation | Monte-Carlo-Simulation | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Wechselkurs | Exchange rate | Theorie | Theory | Strukturbruch | Structural break | Strukturwandel | Structural change |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jimonfin.2015.04.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011477872