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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Item Type:	Article
Sets:	Collections > Economists Online
Rights:	http://www.lse.ac.uk/library/rights/LSERO.htm
URL:	http://eprints.lse.ac.uk/1266/

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