Implied volatility surface predictability : the case of commodity markets
Fearghal Kearney, Han Lin Shang, Lisa Sheenan
| Year of publication: |
2019
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|---|---|
| Authors: | Kearney, Fearghal ; Shang, Han Lin ; Sheenan, Lisa |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 108.2019, p. 1-16
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| Subject: | Commodity finance | Forecasting | Implied volatility surfaces | Options markets | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Optionsgeschäft | Option trading | Rohstoffmarkt | Commodity market | Optionspreistheorie | Option pricing theory | Index-Futures | Index futures | Nichtparametrisches Verfahren | Nonparametric statistics | Rohstoffderivat | Commodity derivative | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2019.105657 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012224756