Implied and realized volatility: A study of distributions and the distribution of difference
Author:
Affiliation:
1. Department of Physics University of Cincinnati Cincinnati Ohio USA
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.1922
Reference30 articles.
1. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
2. Long memory behavior of returns after intraday financial jumps
3. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
4. Wealth condensation in a simple model of economy
5. Pricing options on realized variance
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