La estructura temporal de las volatilidades implícitas en la opción sobre el IBEX-35
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Volume (Year): 24 (2000)
Issue (Month): 2 (May)
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References listed on IDEAS
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- Gabriele Fiorentini & Angel LeÛn & Gonzalo Rubio, .
"Short-term options with stochastic volatility: Estimation and empirical performance,"
Studies on the Spanish Economy
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- Robert F. Engle & Joshua Rosenberg, 1998.
"Testing the Volatility Term Structure using Option Hedging Criteria,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
98-031, New York University, Leonard N. Stern School of Business-.
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- 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.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Dewachter, H. & Leon, A.M., 1994. "The Information Content of Options on the IBEX-35," Papers 9414, Centro de Estudios Monetarios Y Financieros-.
- 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.
- 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.
- Robert F. Engle & Victor K. Ng, 1991.
"Measuring and Testing the Impact of News on Volatility,"
NBER Working Papers
3681, National Bureau of Economic Research, Inc.
- 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.
- Duan, Jin-Chuan, 1997. "Augmented GARCH (p,q) process and its diffusion limit," Journal of Econometrics, Elsevier, vol. 79(1), pages 97-127, July.
- 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.
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