The relationship between implied volatility and autocorrelation

Robert Faff, Michael D McKenzie

Research output: Contribution to journal › Article › Research › peer-review

Original language	English
Pages (from-to)	191 - 196
Number of pages	6
Journal	International Journal of Managerial Finance
Volume	3
Issue number	2
Publication status	Published - 2007

Cite this

@article{74204aa76a0b487ebba4fa07353d4afd,

title = "The relationship between implied volatility and autocorrelation",

author = "Robert Faff and McKenzie, {Michael D}",

year = "2007",

language = "English",

volume = "3",

pages = "191 -- 196",

journal = "International Journal of Managerial Finance",

issn = "1743-9132",

publisher = "Emerald Group Publishing Limited",

number = "2",

}