A generalized multiscale analysis of the predictive content of eurodollar implied volatilities

International Journal of Theoretical and Applied Finance

Volumn 12, Issue 1, 2009, Pages 1-18

  Cardinali, Alessandro ^a  

^a UNIVERSITY OF BRISTOL   (United Kingdom)

Author keywords

ATM implied volatilities; Best basis; Cross correlation; Nondecimated wavelet packet transform

Indexed keywords

EID: 65249173445     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024909005130     Document Type: Article

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