On the linkages among ex-ante and ex-post volatility
SHAIKH, IMLAK
On the linkages among ex-ante and ex-post volatility Evidence from NSE options market (India) - 2013 - 487-505
This article investigates the cointegration level and changes in the existence and direction of casuality among volatilities. Vector autoregressive (VAR) model enables us to conduct granger- causality and impulse response analysis and determine the pattern of causality. The empirical findings uncover that ex-ante volatility best impounds the market wide information to explain the ex post volatility.
MARKETING
658.8
On the linkages among ex-ante and ex-post volatility Evidence from NSE options market (India) - 2013 - 487-505
This article investigates the cointegration level and changes in the existence and direction of casuality among volatilities. Vector autoregressive (VAR) model enables us to conduct granger- causality and impulse response analysis and determine the pattern of causality. The empirical findings uncover that ex-ante volatility best impounds the market wide information to explain the ex post volatility.
MARKETING
658.8