Browsing NTNU Open by Author "Guttormsen, Haakon Johnsrud"
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Implied Volatility Indices and Volatility Forecasting
Guttormsen, Haakon Johnsrud; Bugge, Sebastian Andersen; Ringdal, Martin (Master thesis, 2016)This thesis consists of two articles that study volatility forecasts and the value of implied volatility indices. In the first paper, we construct implied volatility indices for all stocks in the Dow Jones Industrial ...