Volatility is log-normal -- but not for the reason you think

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Standard

Volatility is log-normal -- but not for the reason you think. / Tegnér, Martin; Poulsen, Rolf.

I: Risks, Bind 6, Nr. 2, 46, 2018.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

Harvard

Tegnér, M & Poulsen, R 2018, 'Volatility is log-normal -- but not for the reason you think', Risks, bind 6, nr. 2, 46. https://doi.org/10.3390/risks6020046

APA

Tegnér, M., & Poulsen, R. (2018). Volatility is log-normal -- but not for the reason you think. Risks, 6(2), [46]. https://doi.org/10.3390/risks6020046

Vancouver

Tegnér M, Poulsen R. Volatility is log-normal -- but not for the reason you think. Risks. 2018;6(2). 46. https://doi.org/10.3390/risks6020046

Author

Tegnér, Martin ; Poulsen, Rolf. / Volatility is log-normal -- but not for the reason you think. I: Risks. 2018 ; Bind 6, Nr. 2.

Bibtex

@article{2ca0d9757cfc4d48a58a409dba1d5ab5,
title = "Volatility is log-normal -- but not for the reason you think",
abstract = "It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-min sampling frequency, the models can be differentiated and empirical evidence overwhelmingly favours a fast mean-reverting log-normal model.",
author = "Martin Tegn{\'e}r and Rolf Poulsen",
year = "2018",
doi = "10.3390/risks6020046",
language = "English",
volume = "6",
journal = "Risks",
issn = "2227-9091",
publisher = "MDPI",
number = "2",

}

RIS

TY - JOUR

T1 - Volatility is log-normal -- but not for the reason you think

AU - Tegnér, Martin

AU - Poulsen, Rolf

PY - 2018

Y1 - 2018

N2 - It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-min sampling frequency, the models can be differentiated and empirical evidence overwhelmingly favours a fast mean-reverting log-normal model.

AB - It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-min sampling frequency, the models can be differentiated and empirical evidence overwhelmingly favours a fast mean-reverting log-normal model.

U2 - 10.3390/risks6020046

DO - 10.3390/risks6020046

M3 - Journal article

VL - 6

JO - Risks

JF - Risks

SN - 2227-9091

IS - 2

M1 - 46

ER -

ID: 201613463