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A GARCH model of the implied volatility of the Swiss market index from option prices

Sabbatini, Michael and Linton, Oliver (1998) A GARCH model of the implied volatility of the Swiss market index from option prices. International Journal of Forecasting, 14 (2). pp. 199-213. ISSN 0169-2070

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Identification Number: 10.1016/S0169-2070(98)00027-2
Item Type: Article
Sets: Collections > Economists Online
Date Deposited: 27 Apr 2007
Last Modified: 01 Oct 2010 08:45
URI: http://eprints.lse.ac.uk/id/eprint/1266

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