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Assessing the intraday relationship between implied and historical volatility · Study

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ArticleAssessing the intraday relationship between implied and historical volatility

Ira G. Kawaller1994

Article1994

Assessing the intraday relationship between implied and historical volatility

Ira G. Kawaller · Paul D. Koch · John Peterson

20 citations·0/0 files stored·Journal of Futures Markets

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1973The Pricing of Options and Corporate Liabilities 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1986The theory and practice of econometrics 1976The pricing of commodity contracts 2015Proof that Properly Anticipated Prices Fluctuate Randomly 1987Option values under stochastic volatility: Theory and empirical estimates 1987Trading Mechanisms and Stock Returns: An Empirical Investigation 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY

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Year1994

Typearticle

Published1994-05-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations20

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1002/fut.3990140306

openalex_workW2117966429

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