Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model
Tzu Tai and Cheng Few Lee
| Year of publication: |
[2017]
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|---|---|
| Authors: | Tai, Tzu ; Lee, Cheng F. |
| Published in: |
Portfolio construction, measurement, and efficiency : essays in honor of Jack Treynor. - Switzerland : Springer, ISBN 978-3-319-33974-0. - 2017, p. 355-387
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| Subject: | Optionsgeschäft | Option trading | Index-Futures | Index futures | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | USA | United States | 2010-2013 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/978-3-319-33976-4_19 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011603288