On the role of risk premia in volatility forecasting

Journal of Business and Economic Statistics

Volumn 25, Issue 4, 2007, Pages 411-426

  Chernov, Mikhail ^a,b  

^a The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

^b LONDON BUSINESS SCHOOL   (United Kingdom)

Author keywords

Error in variables problem; Implied volatility; Jump diffusion processes; Quadratic variation; Range; Realized volatility

Indexed keywords

EID: 35648997869     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500106000000350     Document Type: Article

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