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La estructura temporal de las volatilidades implícitas en la opción sobre el IBEX-35

  • Pilar Corredor-Casado

    (Universidad Pública de Navarra)

  • Rafael Santamaría-Aquilué

    (Universidad Pública de Navarra)

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    No abstract is available for this item.

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    Article provided by Fundación SEPI in its journal Investigaciones Economicas.

    Volume (Year): 24 (2000)
    Issue (Month): 2 (May)
    Pages: 385-417

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    Handle: RePEc:iec:inveco:v:24:y:2000:i:2:p:385-417
    Contact details of provider: Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
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    1. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December.
    2. Robert F. Engle & Joshua Rosenberg, 1966. "Testing the Volatility Term Structure Using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-24, New York University, Leonard N. Stern School of Business-.
    3. Day, Theodore E. & Lewis, Craig M., 1988. "The behavior of the volatility implicit in the prices of stock index options," Journal of Financial Economics, Elsevier, vol. 22(1), pages 103-122, October.
    4. Campa, Jose Manuel & Chang, P H Kevin, 1995. " Testing the Expectations Hypothesis on the Term Structure of Volatilities in Foreign Exchange Options," Journal of Finance, American Finance Association, vol. 50(2), pages 529-47, June.
    5. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    6. Duan, Jin-Chuan, 1997. "Augmented GARCH (p,q) process and its diffusion limit," Journal of Econometrics, Elsevier, vol. 79(1), pages 97-127, July.
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    8. Dewachter, H. & Leon, A.M., 1994. "The Information Content of Options on the IBEX-35," Papers 9414, Centro de Estudios Monetarios Y Financieros-.
    9. repec:fda:fdaeee:02 is not listed on IDEAS
    10. Beckers, Stan, 1981. "Standard deviations implied in option prices as predictors of future stock price variability," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 363-381, September.
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