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Publications by Julius Mungo

Long Memory Persistence in the Factor of Implied Volatility Dynamics

SSRN Electronic Journal

English

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Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

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A New Factor to Explain Implied Volatility Smirk

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An Empirical Study of the Dynamics of Implied Volatility Indices: International Evidence

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Intraday Volatility Forecasting From Implied Volatility

International Journal of Managerial Finance

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Long Memory and Changing Persistence

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Implied Volatility Functions: Empirical Tests

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Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility

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Arbitrage-Free Smoothing of the Implied Volatility Surface

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Distinguishing Short and Long Memory Volatility Specifications

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