Open AccessComparison of Volatility Measures: A Risk Management Perspective
Author(s) -
Christian T. Brownlees,
Giampiero M. Gallo
Publication year - 2009
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1070321
Subject(s) - forward volatility , econometrics , volatility (finance) , volatility risk premium , volatility smile , implied volatility , realized variance , stochastic volatility , variance swap , financial models with long tailed distributions and volatility clustering , volatility swap , value at risk , economics , risk management , mathematics , computer science , finance
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