Volatility dynamics for the S&P500 : evidence from realized volatility, daily returns, and option prices
Peter Christoffersen; Kris Jacobs; Karim Mimouni
| Year of publication: |
2010
|
|---|---|
| Authors: | Christoffersen, Peter F. ; Jacobs, Kris ; Mimouni, Karim |
| Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 23.2010, 8, p. 3141-3189
|
| Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Aktienindex | Stock index | Kapitaleinkommen | Capital income | USA | United States | 1996-2004 |
| 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/10008662052