NYU Faculty Digital Archive
metadata only
On the Dynamics and Information Content of Implied Volatility: A Bivariate Time Series Perspective
A new research design is introduced for the empirical analysis of the relationship between implied volatility and ex-post realized volatility. The dynamics of volatility are emphasized, and the analysis is cast in terms of non-overlapping data, so that exactly one implied and one realized volatility
Conceptio Open Archive
Analyze & explore related research in Conceptio
Connect this record directly into your research workflow or AI agent. Explore citations across open repositories, query full text, and export structured proof bundles.
This document is indexed with metadata only: full text is not available in the archive for this record. Open the official source ↗
Related documents
- Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH#942356
- A computationally efficient multivariate volatility model for many assets#1011962
- Modeling Market Microstructure Time Series#942560
- Signal Correlation, IC, and PnL Dependence#987322
- On the Pricing of American Options under Stochastic Local Volatility and Stochastic Correlation via the RBSDE Framework#1156459
Record · ID 942649
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Retrieved via Conceptio: every document is proof-bundled with source, license, and retrieval metadata.
Bring this data into your agent: Connect via MCP or API · 20 free credits to start · no card required
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive
Read the Docs → · View CLI source on GitHub · Conceptio Open Knowledge Archive