Implied and realized volatility: empirical model selection
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Publication:470518
DOI10.1007/s10436-010-0168-0zbMath1298.91197MaRDI QIDQ470518
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-010-0168-0
model selection; leverage effect; implied volatility; cross validation; realized volatility; discrete observation; Itō process; \(F\)-testing
62G10: Nonparametric hypothesis testing
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
60H30: Applications of stochastic analysis (to PDEs, etc.)
62L10: Sequential statistical analysis
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Cites Work
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