The jump component of S&P 500 volatility and the VIX index

Journal of Banking and Finance

Volumn 33, Issue 6, 2009, Pages 1033-1038

  Becker, Ralf ^a   Clements, Adam E ^b   McClelland, Andrew ^b  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

Author keywords

Implied volatility; Informational efficiency; Jumps; VIX; Volatility forecasts

Indexed keywords

EID: 62749177967     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.10.015     Document Type: Article

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