ECB working paper posits improved volatility measure
Researchers at the European Central Bank (ECB) have developed a new measure of market volatility, which they set out in a working paper published yesterday (January 22).
Vincent Brousseau and Alain Durré base their model on the consol rate for the Eonia swap curve. "We demonstrate that this volatility measure is very close to the true instantaneous volatility as it allows the excess returns of the consol rate to display a Gaussian white noise process," they say.
The researchers say their new
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