The relation between implied and realised volatility in the Danish option and equity markets

Accounting and Finance

Volumn 41, Issue 3, 2001, Pages 197-228

  Hansen, Charlotte Strunk ^a  

^a AARHUS UNIVERSITY   (Denmark)

Author keywords

Illiquid markets; Implied volatility; Index options; Market efficiency; Volatility forecasting

Indexed keywords

EID: 14544307537     PISSN: 08105391     EISSN: 1467629X     Source Type: Journal    
DOI: 10.1111/1467-629x.00059     Document Type: Article

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