Using implied volatility jumps for realized volatility forecasting : evidence from the Chinese market
Wuyi Ye, Wenjing Xia, Bin Wu, Pengzhan Chen
| Year of publication: |
2022
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|---|---|
| Authors: | Ye, Wuyi ; Xia, Wenjing ; Wu, Bin ; Chen, Pengzhan |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 83.2022, p. 1-14
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| Subject: | 50ETF | Cojumps | Implied volatility | Jumps | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | China | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |