The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship (Q5746767)
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scientific article; zbMATH DE number 6256479
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| English | The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship |
scientific article; zbMATH DE number 6256479 |
Statements
The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship (English)
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8 February 2014
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interest rates
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realised volatility
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implied volatilities
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constant elasticity of variance
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0.6549578309059143
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0.6534415483474731
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0.6506677269935608
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0.6447668075561523
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0.6437307000160217
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