𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The information content of the paper-bill spread

✍ Scribed by Kenneth M Emery


Book ID
116096256
Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
451 KB
Volume
48
Category
Article
ISSN
0148-6195

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Information content of volatility spread
✍ Byung Jin Kang; Tong Suk Kim; Sun-Joong Yoon πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 163 KB

## Abstract This study reexamines the determinants of volatility spreads and suggests a new forecast of future volatilities. Contrary to earlier volatility forecasts, the newly introduced forecast is applicable when investors are not risk‐neutral or when underlying returns do not follow a Gaussian