How does implied volatility differ from model based volatility forecasts?
| Contribuinte(s) |
Robinson, T Christensen, M Fletcher, A |
|---|---|
| Data(s) |
2008
|
| Formato |
application/pdf |
| Identificador | |
| Publicador |
Faculty of Business, Queensland University of Technology |
| Relação |
http://eprints.qut.edu.au/30515/1/30515_becker_2009002202.pdf Becker, Ralf, Clements, Adam, & Curchin, James (2008) How does implied volatility differ from model based volatility forecasts? In Robinson, T, Christensen, M, & Fletcher, A (Eds.) Proceedings of the 16th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, 2-4 July 2008, Australia, Queensland, Brisbane. |
| Fonte |
QUT Business School; School of Economics & Finance |
| Palavras-Chave | #150202 Financial Econometrics #150205 Investment and Risk Management #implied volatility, VIX, volatility forecasts, informational efficiency |
| Tipo |
Conference Paper |
