Information Content of Continuous and Jump Decomposition of Variances

Journal article

財務金融學刊Journal of Financial Studies, Vol.26(3), pp.117-139

09/2018

Abstract

Volatility prediction;model free implied volatility;realized variance;conditional jump intensity;波動度預測;無模型隱含波動度;已實現變異值;條件式躍動頻率

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Title: Information Content of Continuous and Jump Decomposition of Variances
Translated title: 連續及躍動變異部份之訊息內涵
Creators - without role: Chi-Feng Tzeng
子晧蔡
Publication Details: 財務金融學刊Journal of Financial Studies, Vol.26(3), pp.117-139
Identifiers: 9957777735106774
Academic Unit: Department of Quantitative Finance, College of Technology Management, National Tsing Hua University
Language: English
Resource Type: Journal article