مرکز منطقه ای اطلاع رساني علوم و فناوري - Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets

Title of article :

Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets

Author/Authors :

Soosung Hwang، نويسنده , , Stephen E. Satchell، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2000

Pages :

From page :

759

To page :

785

Keywords :

Kalman ®lter , Impliedvolatility , Stochastic volatility model , Fundamental volatility

Journal title :

Journal of Banking and Finance

Serial Year :

2000

Journal title :

Journal of Banking and Finance

Record number :

193183

Link To Document :

https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=193183