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The Predictability of Realized Fluctuations
The Relationship with Stock Price Fluctuations
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180 business days absolute changes Asset Price Bandwidth 27 Bandwidths are decided Bank of Japan call option changes in stock contains useful information Content of Implied correlation distribution of stock dynamic cross-correlation equations 15 estimated coefficients estimating implied probability estimation results excess kurtosis f-val Granger causality tests heteroskedasticity and autocorrelation Hiroshi Fujiki historical distribution hypothesis testing ID and HD implied probability distribution implied volatility indicate Inflation information content Kunio Okina lead/lag relationship market fluctuations Monetary Policy Nakamura and Shiratsuka Naohiko Baba Newey and West's Nobuyuki Oda null hypothesis Number of samples option prices percent predictive power price index options put option r-val rejected Risk Rolling Regressions Sample period Shigenori Shiratsuka Shiratsuka 1999 single equation estimation skewness and excess standard deviation standard errors Stdv Skew Ex-Kurt stock price changes stock price fluctuations stock price index strike price subsample periods subsequently realized distribution summary statistics Table Tokiko Shimizu underlying asset