Implied and realized volatility: empirical model selection

Lan Zhang ()
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Lan Zhang: http://tigger.uic.edu/~lanzhang/

Annals of Finance, 2012, vol. 8, issue 2, 259-275

Keywords: Cross validation; Discrete observation; F-testing; Implied volatility; Itô process; Leverage effect; Model selection; Realized volatility; C02; C13; C14; C22; D52; D81; G11; G13 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s10436-010-0168-0

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