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Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression
- 1.0456186 - ÚTIA 2017 RIV NL eng J - Journal Article
Baruník, Jozef - Hlínková, M.
Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression.
Economic Modelling. Roč. 54, č. 1 (2016), s. 503-514. ISSN 0264-9993. E-ISSN 1873-6122
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : wavelet band spectrum regression * corridor implied volatility * realized volatility * fractional cointegration
Subject RIV: AH - Economics
Impact factor: 1.463, year: 2016
http://library.utia.cas.cz/separaty/2016/E/barunik-0456186.pdf
Permanent Link: http://hdl.handle.net/11104/0260443
Number of the records: 1