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A no arbitrage fractional cointegration analysis of the range based volatility
Rossi, Eduardo; Santucci de Magistris, Paolo - 2009
Persistent link: https://www.econbiz.de/10003863181
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Revisiting the financial volatility : derivative products relationship on Euronext.liffe using a frequency domain analysis
Albulescu, Claudiu Tiberiu; Goyeau, Daniel; Tiwari, … - In: Brussels economic review 56 (2013) 3/4, pp. 349-364
Persistent link: https://www.econbiz.de/10010400880
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On the relationship of implied, realized and historical volatility : evidence from NSE equity index options
Padhi, Puja; Shaikh, Imlak - In: Journal of business economics and management 15 (2014) 5, pp. 915-934
Persistent link: https://www.econbiz.de/10010484378
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Structural simultaneous volatility systems : volatility transmission and spillover effects
Gannon, Gerard L. - 1997
Persistent link: https://www.econbiz.de/10000964264
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The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
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A general volatility framework and the generalised historical volatility estimator
Bollen, Bernard - 1998
Persistent link: https://www.econbiz.de/10000995980
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The economics of conditional heteroskedasticity : evidence from Canadian and US stock and futures markets
Ackert, Lucy F. - In: Atlantic economic journal : AEJ 25 (1997) 4, pp. 371-385
Persistent link: https://www.econbiz.de/10001234648
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Volatility estimation for stock index options : a GARCH approach
Chu, Shin-herng - In: The quarterly review of economics and finance : journal … 36 (1996) 4, pp. 431-450
Persistent link: https://www.econbiz.de/10001214235
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The volatility of realized volatility
Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - 2005
Persistent link: https://www.econbiz.de/10003351594
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The volatility of realized volatility
Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; … - In: Econometric reviews 27 (2008) 1/3, pp. 46-78
Persistent link: https://www.econbiz.de/10003761214