Research and publications
The Relevance of Country- and Sector-specific Model-free Volatility Indicators
This paper tests for the presence of local volatility factors using model-free volatility indicators in contrast to the classical model-dependent approach through GARCH-type processes. It employs three different model-free methodologies – model-free option implied volatility (MFOI), realised volatility, and cross-sectional volatility (CSV).
Author(s):
Lixia Loh, Lionel Martellini, Stoyan Stoyanov
Summary:
This paper tests for the presence of local volatility factors using model-free volatility indicators in contrast to the classical model-dependent approach through GARCH-type processes. It employs three different model-free methodologies – model-free option implied volatility (MFOI), realised volatility, and cross-sectional volatility (CSV).
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Register/Log in| Type : | EDHEC Publication |
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| Date : | 30/03/2013 |
| Keywords : |
Volatility |
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