The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets (Q737260)
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scientific article; zbMATH DE number 6610561
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| English | The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets |
scientific article; zbMATH DE number 6610561 |
Statements
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets (English)
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10 August 2016
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bipower variation
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HAR (heterogeneous autoregressive model)
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implied volatility
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jumps
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options
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realized volatility
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vechar
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volatility forecasting
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0.7748017311096191
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0.7690997123718262
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0.7636774182319641
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0.7540385127067566
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0.7483231425285339
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