Implied Covariance Term Structure
The note explains Rolloos' approximation for the covariance between an asset and its realised volatility, a tool that can help monitor the term structure of implied asset-realised volatility covariance and guide trading decisions.
Featured in No. 52 on 5 Jun 2024 · 2 days after release
- Released
- 3 Jun 2024
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- No. 52 · 5 Jun 2024
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- SSRN 4852018
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