Thomas Busch

Danske Markets

Analyst

Holmens Kanal 2-12

DK-1092 Copenhagen K

Denmark

CREATES

Junior Fellow

Univeristy of Aarhus

Building 350

DK-8000 Aarhus C

Denmark

http://person.au.dk/da/tbusch@econ

SCHOLARLY PAPERS

2

DOWNLOADS

450

SSRN CITATIONS
Rank 19,127

SSRN RANKINGS

Top 19,127

in Total Papers Citations

0

CROSSREF CITATIONS

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Scholarly Papers (2)

1.

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

Number of pages: 41 Posted: 23 Jun 2008
Danske Markets, Aarhus University and Queen's University - Department of Economics
Downloads 395 (73,858)
Citation 46

Abstract:

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Bipower variation, HAR, Heterogeneous Autoregressive Model, implied volatility, jumps, options, realized volatility, VecHAR, volatility forecasting

2.

Testing the Martingale Restriction for Option Implied Densities

Number of pages: 29 Posted: 26 Feb 2005
Thomas Busch
Danske Markets
Downloads 55 (372,180)

Abstract:

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Density Forecasting, Hypothesis testing, Option Implied Densities, Risk Management, Time Series