Muzzioli, Silvia - Dipartimento di Economia "Marco Biagi", Università … - 2011
Corridor implied volatility introduced in Carr and Madan (1998) and recently implemented in Andersen and Bondarenko …. First we investigate the forecasting performance of corridor implied volatility by choosing different corridors with … implied volatility is implicitly linked with the concept that the tails of the risk-neutral distribution are estimated with …