On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility
Year of publication: |
2012-10-24
|
---|---|
Authors: | Bentes, Sonia R ; Menezes, Rui |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | implied volatility | volatility forecasts | GARCH models | volatility indices |
-
Global financial crisis and the puzzling exchange rate path in CEE countries
Crespo Cuaresma, Jesús, (2010)
-
Cuaresma, Jesús Crespo, (2010)
-
Global Financial Crisis and the Puzzling Exchange Rate Path in CEE Countries
Cuaresma, Jesús Crespo, (2010)
- More ...
-
Nonlinear dynamics within macroeconomic factors and stock market in Portugal, 1993 - 2003
Dionisio, Andreia, (2007)
-
Symbolic shadowing and the computation of entropy for observed time series
Mendes, Diana A., (2010)
-
Price transmission in cross boundary supply chains
Asche, Frank, (2007)
- More ...