Testing the predictive ability of corridor implied volatility under GARCH models
Yes === This paper studies the predictive ability of corridor implied volatility (CIV) measure. It is motivated by the fact that CIV is measured with better precision and reliability than the model-free implied volatility due to the lack of liquid options in the tails of the risk-neutral distributio...
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| Language: | en |
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2019
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| Online Access: | http://hdl.handle.net/10454/16912 |