Implied correlation indices and volatility forecasting
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DOI: 10.1080/13504851.2016.1213357
Abstract: ABSTRACT Implied volatility indices are an important measure for ‘market fear’ and well-known in academia and practice. Correlation is still paid less attention even though the CBOE started to calculate implied correlation indices for the… read more here.
Keywords: correlation; volatility forecasting; indices volatility; implied correlation ... See more keywords