How does implied volatility differ from model based volatility forecasts?
Becker, Ralf, Clements, Adam, & Curchin, James (2008) How does implied volatility differ from model based volatility forecasts? In Robinson, T, Christensen, M, & Fletcher, A (Eds.) Proceedings of the 16th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, 2-4 July 2008, Australia, Queensland, Brisbane.
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|Item Type:||Conference Paper|
|Keywords:||implied volatility, VIX, volatility forecasts, informational efficiency|
|ISBN:||978 1 74107 243 3|
|Subjects:||Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Financial Econometrics (150202)|
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Investment and Risk Management (150205)
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
Current > Schools > School of Economics & Finance
|Deposited On:||12 Feb 2010 22:38|
|Last Modified:||23 Apr 2012 13:52|
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