Julian Andrada-Felix

University of Las Palmas de Gran Canaria

Professor

Campus de Tafira

35017 Las Palmas

Spain

SCHOLARLY PAPERS

1

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177

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Nearest Neighbor Predictions of Realized Volatility for S&P 100 Options Trading

International Journal of Forecasting, Forthcoming
Number of pages: 42 Posted: 02 May 2013 Last Revised: 11 Sep 2019
University of Las Palmas de Gran Canaria, University of Las Palmas de Gran Canaria and Cass Business School, City University of London
Downloads 177 (206,156)

Abstract:

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Realized variance, Volatility forecasting, Options trading, Long memory, Nonlinear dependence, Nearest neighbour, Non-parametric