Implied and realized volatility: empirical model selection
نویسندگان
چکیده
منابع مشابه
Implied and Realized Volatility: Empirical Model Selection
The paper studies the nonparametric connection between realized and implied volatilities. No-arbitrage identities and comparison inequalities are found. We formulate the multi-factor trading system on the volatility scale. To empirically determine the number of factors, we develop a high frequency analysis for sequential F-testing. We also design a cross validated estimate of quadratic variation.
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ژورنال
عنوان ژورنال: Annals of Finance
سال: 2010
ISSN: 1614-2446,1614-2454
DOI: 10.1007/s10436-010-0168-0