Risk Everywhere: Modeling and Managing Volatility
نویسندگان
چکیده
منابع مشابه
Risk Everywhere: Modeling and Managing Volatility
Based on a unique high-frequency dataset for more than fifty commodities, currencies, equity indices, and fixed income instruments spanning more than two decades, we document strong similarities in realized volatilities patterns across assets and asset classes. Exploiting these similarities within and across asset classes in panel-based estimation of new realized volatility models results in su...
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ژورنال
عنوان ژورنال: The Review of Financial Studies
سال: 2018
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhy041