Implied and realized volatility: empirical model selection (Q470518): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
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| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number: 6368837 / rank | |||
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cross validation | |||
| Property / zbMATH Keywords: cross validation / rank | |||
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discrete observation | |||
| Property / zbMATH Keywords: discrete observation / rank | |||
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\(F\)-testing | |||
| Property / zbMATH Keywords: \(F\)-testing / rank | |||
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implied volatility | |||
| Property / zbMATH Keywords: implied volatility / rank | |||
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Itō process | |||
| Property / zbMATH Keywords: Itō process / rank | |||
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leverage effect | |||
| Property / zbMATH Keywords: leverage effect / rank | |||
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model selection | |||
| Property / zbMATH Keywords: model selection / rank | |||
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realized volatility | |||
| Property / zbMATH Keywords: realized volatility / rank | |||
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Revision as of 16:30, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Implied and realized volatility: empirical model selection |
scientific article |
Statements
Implied and realized volatility: empirical model selection (English)
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12 November 2014
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cross validation
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discrete observation
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\(F\)-testing
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implied volatility
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Itō process
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leverage effect
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model selection
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realized volatility
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