| bibtype |
J -
Journal Article
|
| ARLID |
0456186 |
| utime |
20240103211849.2 |
| mtime |
20160207235959.9 |
| SCOPUS |
84958756722 |
| WOS |
000374195900041 |
| DOI |
10.1016/j.econmod.2016.01.014 |
| title
(primary) (eng) |
Revisiting the long memory dynamics of the implied-realized volatility relationship: New evidence from the wavelet regression |
| specification |
| page_count |
33 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0250391 |
| ISSN |
0264-9993 |
| title
|
Economic Modelling |
| volume_id |
54 |
| volume |
1 (2016) |
| page_num |
503-514 |
| publisher |
|
|
| keyword |
wavelet band spectrum regression |
| keyword |
corridor implied volatility |
| keyword |
realized volatility |
| keyword |
fractional cointegration |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
50 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| garant |
A |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0331300 |
| share |
50 |
| name1 |
Hlínková |
| name2 |
M. |
| country |
CZ |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0281000 |
| project_id |
GBP402/12/G097 |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
The literature studying stock index options confirms severe biases and inefficiencies in using implied volatility as a forecast of future volatility. In this paper, we revisit the implied-realized volatility relationship with wavelet band least squares (WBLS) exploring the long memory of volatility, a possible cause of the bias. Using the S/&P 500 and DAX monthly and bi-weekly option prices covering the recent financial crisis, we conclude that the implied-realized volatility relation is driven solely by the lower frequencies of the spectra representing long investment horizons. The findings enable improvement of future volatility forecasts as they support unbiasedness of implied volatility as a good proxy for future volatility in the long run. |
| RIV |
AH |
| reportyear |
2017 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0260443 |
| cooperation |
| ARLID |
cav_un_auth*0308308 |
| name |
Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague |
| institution |
IES FSV UK |
| country |
CZ |
|
| confidential |
S |
| mrcbC86 |
2 Article Economics |
| mrcbT16-e |
ECONOMICS |
| mrcbT16-j |
0.382 |
| mrcbT16-s |
0.954 |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
28.789 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q2 |
| arlyear |
2016 |
| mrcbU14 |
84958756722 SCOPUS |
| mrcbU34 |
000374195900041 WOS |
| mrcbU63 |
cav_un_epca*0250391 Economic Modelling 0264-9993 1873-6122 Roč. 54 č. 1 2016 503 514 Elsevier |
|