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• W569622175 abstract "We explore the ability of alternative popular continuous-time diffusion and jump diffusion processes to capture the dynamics of implied volatility over time. The performance of the volatility processes is assessed under both econometric and financial metrics. To this end, data are employed from major European and American implied volatility indices and the rapidly growing CBOE volatility futures market. We find that the simplest diffusion/jump diffusion models perform best under both metrics. Mean reversion is of second order importance. The results are consistent across the various markets. JEL Classification: G11, G12, G13." @default.
• W569622175 created "2016-06-24" @default.
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• W569622175 date "2006-01-01" @default.
• W569622175 modified "2023-09-27" @default.
• W569622175 title "Implied Volatility Process: Evidence from the Volatility Derivatives Markets" @default.
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• W569622175 hasPublicationYear "2006" @default.
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