Implied and realized volatility: empirical model selection

DOI10.1007/s10436-010-0168-0zbMath1298.91197OpenAlexW2048586745MaRDI QIDQ470518

Lan Zhang

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-010-0168-0

zbMATH Keywords

model selectionleverage effectimplied volatilitycross validationrealized volatilitydiscrete observationItō process\(F\)-testing

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Sequential statistical analysis (62L10)

Related Items (6)

Between data cleaning and inference: pre-averaging and robust estimators of the efficient price ⋮ Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas ⋮ Realized regression with asynchronous and noisy high frequency and high dimensional data ⋮ Affine fractional stochastic volatility models ⋮ Combining statistical intervals and market prices: the worst case state price distribution ⋮ A CLT for second difference estimators with an application to volatility and intensity

Uses Software

• alr3

Cites Work

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