Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models

Author: Zumbach Gilles  

Publisher: Routledge Ltd

ISSN: 1469-7688

Source: Quantitative Finance, Vol.11, Iss.1, 2011-01, pp. : 101-113

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract