Another look at the implied and realised volatility relation: a copula-based approach

The main aim of this paper is to obtain a direct measure of the relation between the future and implied volatilities, in order to determine the appropriateness of using linear modelling to establish the implied–realised volatility relation. To achieve this aim, the dependence structure for implied and realised volatilities is modelled using bivariate standard copulas. Dependence parameters are estimated using a semiparametric method and by...