2011•SSRN Electronic JournalOpen access

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Jean‐Marie Dufour, René García, Abderrahim Taamouti

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Key concepts: Volatility (finance), Realized variance, Implied volatility, Econometrics, Forward volatility, Variance swap, Economics, Volatility swap

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