ARE VOLATILITY EXPECTATIONS CHARACTERIZED BY REGIME SHIFTS? EVIDENCE FROM IMPLIED VOLATILITY INDICES

ARE VOLATILITY EXPECTATIONS CHARACTERIZED BY REGIME SHIFTS?
EVIDENCE FROM IMPLIED VOLATILITY INDICES

Kazuhiko Nishina
Nabil Maghrebi
Mark J. Holmes

Discussion Paper 06-20

July 2006

Θmr*^ftW≡∙≡fm≡

14ШйШ^8Шт>

Graduate School of Economics and

Osaka School of International Public Policy (OSIPP)
Osaka University, Toyonaka, Osaka 560-0043, JAPAN

More intriguing information

1. L'organisation en réseau comme forme « indéterminée »
2. The name is absent
3. The Works of the Right Honourable Edmund Burke
4. Backpropagation Artificial Neural Network To Detect Hyperthermic Seizures In Rats
5. EXECUTIVE SUMMARY
6. The name is absent
7. Comparative study of hatching rates of African catfish (Clarias gariepinus Burchell 1822) eggs on different substrates
8. WP 48 - Population ageing in the Netherlands: Demographic and financial arguments for a balanced approach
9. THE WELFARE EFFECTS OF CONSUMING A CANCER PREVENTION DIET
10. The Employment Impact of Differences in Dmand and Production
11. Legal Minimum Wages and the Wages of Formal and Informal Sector Workers in Costa Rica
12. The name is absent
13. Stakeholder Activism, Managerial Entrenchment, and the Congruence of Interests between Shareholders and Stakeholders
14. Insurance within the firm
15. The name is absent
16. Literary criticism as such can perhaps be called the art of rereading.
17. The name is absent
18. The Context of Sense and Sensibility
19. The name is absent
20. The name is absent