Sökning: "Olena Mickolson"

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  1. 1. Model-Free Implied Volatility, Its Time-Series Behavior And Forecasting Ability

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Olena Mickolson; [2010]
    Nyckelord :implicit volatility; historical volatility; model-free implied volatility; VSMI; VSTOXX; Business and Economics;

    Sammanfattning : Several widely acknowledged stylized statistical facts about the performance of volatility were observed during the analysis. First, the volatility exhibits mean-reversion towards its long-run mean. LÄS MER