The realised–implied volatility relationship: Recent empirical evidence from FTSE‐100 Stocks

JF Garvey, LA Gallagher - Journal of Forecasting, 2012 - Wiley Online Library
This paper examines the long‐run relationship between implied and realised volatility for a
sample of 16 FTSE‐100 stocks. We find strong evidence of long‐memory, fractional …
被引用次数：24 相关文章

The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks

JF Garvey, LA Gallagher - Journal of Forecasting, 2012 - infona.pl
This paper examines the long‐run relationship between implied and realised volatility for a
sample of 16 FTSE‐100 stocks. We find strong evidence of long‐memory, fractional …

[引用][C] The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks

JF Garvey, L Gallagher - Journal of Forecasting, 2012 - econpapers.repec.org
EconPapers: The Realised–Implied Volatility Relationship: Recent Empirical Evidence from
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[引用][C] The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks

JF Garvey, LA Gallagher - Journal of Forecasting, 2012 - ideas.repec.org
The Realised–Implied Volatility Relationship: Recent Empirical Evidence from FTSE‐100 Stocks
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