Work

The information content of implied volatility in light of the jump/continuous decomposition of realized volatility

Year: 2007

Type: article

Source: Journal of Futures Markets

DOI: 10.1002/fut.20251

Authors: Pierre Giot, Sébastien Laurent

Institution: University of Namur

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2085642832

FWCI: 5.886

Cites: 31

Cited by: 98

Related to: 10