The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?
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More about this item
Keywords
Options; stochastic volatility; long memory; ARFIMA;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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