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Estimation and inference in optimal stopping models of options and search

Christensen, Bent Jesper (contributor); … - 2001 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001607778

New evidence on the implied-realized volatility relation

Christensen, Bent Jesper (contributor); … - 2001 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001587518

New evidence on the implied-realized volatility relation

Christensen, Bent Jesper; Strunk Hansen, Charlotte - In: The European journal of finance 8 (2002) 2, pp. 187-205

Persistent link: https://www.econbiz.de/10001780664

The implied-realized volatility relation with jumps in underlying asset prices

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005

Persistent link: https://www.econbiz.de/10002670536

The implied-realized volatility relation with jumps in underlying asset prices

Christensen, Bent Jesper (contributor); … - 2005

Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very different time series properties than the continuous component, and accounting for this allows improved forecasting of future...

Persistent link: https://www.econbiz.de/10003795292