Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets

Journal of Banking and Finance

Volumn 24, Issue 5, 2000, Pages 759-785

  Hwang, Soosung ^a   Satchell, Stephen E ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

C32; Fundamental volatility; G18; Implied volatility; Kalman filter; Stochastic volatility model

Indexed keywords

EID: 0001755170     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(99)00065-5     Document Type: Article

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