Persistence of volatility in futures mar
β
Zhiyao Chen; Robert T. Daigler; Ali M. Parhizgari
π
Article
π
2006
π
John Wiley and Sons
π
English
β 266 KB
This article examines the characteristics of key measures of volatility for different types of futures contracts to provide a better foundation for modeling volatility behavior and derivative values. Particular attention is focused on analyzing how different measures of volatility affect volatility