On the predictability of model-free implied correlation
Year of publication: |
April-June 2016
|
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Authors: | Markopoulou, Chryssa ; Skintzi, Vasiliki ; Refenes, Apostolos-Paul |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 32.2016, 2, p. 527-547
|
Subject: | Predictability | Implied correlation | Combining forecasts | Market efficiency | Option strategy | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Effizienzmarkthypothese | Efficient market hypothesis | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Optionsgeschäft | Option trading | Portfolio-Management | Portfolio selection |
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