## 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 riskβneutral or when underlying returns do not follow a Gaussian
The profitability of volatility spreads around information releases
β Scribed by Margaret A. Monroe
- Publisher
- John Wiley and Sons
- Year
- 1992
- Tongue
- English
- Weight
- 589 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
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