Wavelet improved option-implied moments: an empirical study

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Wavelet improved option-implied moments: an empirical study

This study investigates the performance of option-implied moments, realised from the model-free Bakshi-Kapadia-Madan (MFBKM) with an improvement using wavelet transform. So far, little attention has been paid in utilising continuous wavelet transform in denoising the option-implied moments, especial...

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Bibliographic Details
Main Authors:	Harun, Hanani Farhah, Abdullah, Mimi Hafizah
Format:	Article
Language:	English English
Published:	Akademi Sains Malaysia 2019
Subjects:	Q Science (General) T Technology (General)
Online Access:	http://irep.iium.edu.my/82127/ http://irep.iium.edu.my/82127/1/82127_Wavelet%20improved%20option-implied.pdf http://irep.iium.edu.my/82127/2/82127_Wavelet%20improved%20option-implied_SCOPUS.pdf

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