The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
type: Item
instance of: scholarly article
title: The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
zbMATH Open document ID: 1441.62620
author: Thomas Busch
author: Bent Jesper Christensen
author: Morten Ørregaard Nielsen
published in: Journal of Econometrics
publication date: 2016-08-10T00:00:00Z
full work available at URL: http://ageconsearch.umn.edu/record/273658
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6610561
zbMATH Keywords: bipower variation
zbMATH Keywords: HAR (heterogeneous autoregressive model)
zbMATH Keywords: implied volatility
zbMATH Keywords: jumps
zbMATH Keywords: options
zbMATH Keywords: realized volatility
zbMATH Keywords: vechar
zbMATH Keywords: volatility forecasting
MaRDI profile type: Publication
OpenAlex ID: W3124028486
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cites work: Q4905685
DOI: 10.1016/J.JECONOM.2010.03.014
description: scientific article; zbMATH DE number 6610561