Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression

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SYSNO	0456186
Title	Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression
Author(s)	Baruník, Jozef (UTIA-B) [E]_{RID, ORCID} Hlínková, M. (CZ)
Corespondence/senior	Baruník, Jozef - Korespondující senior autor
Source Title	Economic Modelling. Roč. 54, č. 1 (2016), s. 503-514. - : Elsevier
Document Type	Článek v odborném periodiku
Grant	GBP402/12/G097 GA ČR - Czech Science Foundation (CSF), CZ - Czech Republic
Institutional support	UTIA-B - RVO:67985556
Language	eng
Country	NL
Keywords	wavelet band spectrum regression * corridor implied volatility * realized volatility * fractional cointegration
Cooperating institutions	Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague (Czech Republic)
URL	http://library.utia.cas.cz/separaty/2016/E/barunik-0456186.pdf
Permanent Link	http://hdl.handle.net/11104/0260443

Number of the records: 1