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Year of publication
Subject
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ARCH model 2 ARCH-Modell 2 Estimation 2 Estimation theory 2 Forecasting model 2 GARCH 2 Prognoseverfahren 2 Schätztheorie 2 Schätzung 2 range estimators 2 Black-Scholes model 1 Black-Scholes-Modell 1 CARR 1 Derivat 1 Derivative 1 Mean Reversion 1 Mean reversion 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Time series analysis 1 Volatility 1 Volatilität 1 Zeitreihenanalyse 1 backtesting 1 delta-neutral 1 forecasting performance 1 half-life 1 implied volatility 1 mean reversion 1 options 1 realized volatility 1 trading 1
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Online availability
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CC license 1 Free 1
Type of publication
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Article 2
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2
Author
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Castillo, Alberto 1 Mcwilliams, Jose Manuel Mira 1 Miralles Marcelo, José Luis 1 Miralles-Quirós, José Luis 1 Miralles-Quirós, María del Mar 1
Published in...
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Applied financial economics 1 FinTech 1
Source
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Study on the validity of volatility trading
Castillo, Alberto; Mcwilliams, Jose Manuel Mira - In: FinTech 5 (2026) 1, pp. 1-50
This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to...
Persistent link: https://www.econbiz.de/10015628389
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Improving the CARR model using extreme range estimators
Miralles Marcelo, José Luis; Miralles-Quirós, José Luis - In: Applied financial economics 23 (2013) 19/21, pp. 1635-1647
Persistent link: https://www.econbiz.de/10010259753
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