Browsing by Author "Nishina, Kazuhiko"
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Nonlinear adjustments of volatility expectations to forecast errors: Evidence from Markov-Regime switches in implied volatility Nishina, Kazuhiko; Maghrebi, Nabil; Holmes, Mark J. (World Scientific Publishing Co., 2012)This paper tests for nonlinearities in the behavior of volatility expectations based on model-free implied volatility indices. Using Markov regime-switching models, the empirical evidence from the German, Japanese and U.S. ...
Co-authors for Kazuhiko Nishina
Kazuhiko Nishina has 2 co-authors in Research Commons.