Implied and realized volatility: empirical model selection

DOI10.1007/s10436-010-0168-0zbMath1298.91197MaRDI QIDQ470518

Lan Zhang

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

zbMATH Keywords

model selection; leverage effect; implied volatility; cross validation; realized volatility; discrete observation; Itō process; \(F\)-testing

Mathematics Subject Classification ID

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

Related Items

Between data cleaning and inference: pre-averaging and robust estimators of the efficient price, Affine fractional stochastic volatility models, A CLT for second difference estimators with an application to volatility and intensity, Combining statistical intervals and market prices: the worst case state price distribution

Uses Software

• alr3

Cites Work

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