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In May 2008, Ofcom’s L-band auction concluded. This was Ofcom’s second combinatorial
clock auction. The auction used an innovative format intended to encourage an efficient
assignment of the 17 lo...
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression
wavelet band spectrum regression corridor implied volatility realized volatility fractional cointegration
2012/9/14
This paper revisits the fractional cointegrating relationship between ex-ante implied volatil-ity and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should...