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The relation between implied and realized volatility

Christensen, Bent Jesper; Prabhala, N. R. - 1998

Persistent link: https://www.econbiz.de/10000995465

The relation between implied and realized volatility

Christensen, Bent Jesper - In: Journal of financial economics 50 (1998) 2, pp. 125-150

Persistent link: https://www.econbiz.de/10001250560

Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high-frequency options data

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

Persistent link: https://www.econbiz.de/10001599144

Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high frequency

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

Persistent link: https://www.econbiz.de/10001599613

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

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect : The FIEGARCH-M Model

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - 2008

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to...

Persistent link: https://www.econbiz.de/10014217107

Level shifts in volatility and the implied-realized volatility relation

Christensen, Bent Jesper; Santucci de Magistris, Paolo - 2010

Persistent link: https://www.econbiz.de/10008651637

The risk-return tradeoff and leverage effect in a stochastic volatility-in-mean model

Christensen, Bent Jesper; Posedel Šimović, Petra - 2010

Persistent link: https://www.econbiz.de/10008651660