Over-the-Counter Markets
✍ Scribed by Darrell Duffie; Nicolae Gârleanu; Lasse Heje Pedersen
- Book ID
- 111052497
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 234 KB
- Volume
- 73
- Category
- Article
- ISSN
- 0012-9682
No coin nor oath required. For personal study only.
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## Abstract Previous studies of the quality of market‐forecasted volatility have used the volatility that is implied by exchange‐traded option prices. The use of implied volatility in estimating the market view of future volatility has suffered from variable measurement errors, such as the non‐sync