Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression

Baruník, Jozef; Barunikova, Michaela

doi:10.48550/arxiv.1208.4831

2012

DOI: 10.48550/arxiv.1208.4831

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Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression

Jozef Baruník¹,

Michaela Barunikova²

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Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression

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