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Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed fr[...]
2014 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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2.
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Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed fr[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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This chapter surveys the methods available for extracting information from option prices that can be used in forecasting. We consider option-implied volatilities, skewnes[...]
2013 | Book Chapter | Peer-Reviewed Publications - Publications à comité de lecture |
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4.
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Peter Christoffersen passed away on June 22, 2018 at an early age. He was one of the most prolific and gifted researchers in the area of derivatives, combining a very str[...]
2018 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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