The jump component of S&P 500 volatility and the VIX index
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- Ralf Becker & Adam Clements & Andrew McClelland, 2008. "The Jump component of S&P 500 volatility and the VIX index," NCER Working Paper Series 24, National Centre for Econometric Research.
References listed on IDEAS
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More about this item
KeywordsImplied volatility VIX Volatility forecasts Informational efficiency Jumps;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G00 - Financial Economics - - General - - - General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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