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Information content of continuous and jump decomposition of variances
Journal article

Information content of continuous and jump decomposition of variances

祺峰 曾 and 子晧 蔡
財務金融學刊Journal of Financial Studies, Vol.26(3), pp.117-139
2018

Abstract

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;Volatility prediction;Model free implied volatility;Realized variance;Conditional jump intensity

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