Testing the predictive ability of corridor implied volatility under GARCH models
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Publication date
2019-06Author
Lu, ShanKeyword
Corridor implied volatilityGARCH models
Model-free implied volatility
Black-Scholes implied volatility
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© Springer Japan KK, part of Springer Nature 2018. Reproduced in accordance with the publisher's self-archiving policy. The final publication is available at Springer via https://doi.org/10.1007/s10690-018-9262-5.Peer-Reviewed
Yes