The Relationship of Volatility with Stock Index Option Returns and Prices
This paper attempts to identify different kinds of volatilities such as backward looking which includes realized volatility and conditional volatility and forward looking which includes implied volatility. As the report deals with time series data hence the Dickey-Fuller unit root and Engle-Granger...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2020
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| Online Access: | https://eprints.nottingham.ac.uk/62161/ |