Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility
نویسندگان
چکیده
منابع مشابه
Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The leverage hypothesis asserts that ...
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2011
ISSN: 1479-8409,1479-8417
DOI: 10.1093/jjfinec/nbr007