Option prices under Bayesian learning: implied volatility dynamics and predictive densities

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2003
Volume: 27
Issue: 5
Pages: 717-769

Authors (2)

Guidolin, Massimo (Università Commerciale Luigi B...) Timmermann, Allan (University of California-San D...)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Technical Details

RePEc Handle
repec:eee:dyncon:v:27:y:2003:i:5:p:717-769
Journal Field
Macro
Author Count
2
Added to Database
2026-01-25