Implied and realized volatility: empirical model selection

被引：0
|
作者：
Zhang, Lan [1 ]
机构：
[1] Univ Illinois, Dept Finance, Chicago, IL 60607 USA
来源：
ANNALS OF FINANCE | 2012年 / 8卷 / 2-3期
关键词：
Cross validation; Discrete observation; F-testing; Implied volatility; Ito process; Leverage effect; Model selection; Realized volatility;
D O I：
10.1007/s10436-010-0168-0
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The paper studies the nonparametric connection between realized and implied volatilities. No-arbitrage identities and comparison inequalities are found. We formulate the multi-factor trading system on the volatility scale. To empirically determine the number of factors, we develop a high frequency analysis for sequential F-testing. We also design a cross validated estimate of quadratic variation.
引用
收藏
页码：259 / 275
页数：17
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