Optimal prediction periods for new and old volatility indexes in USA and German markets
Year of publication: |
April 2016
|
---|---|
Authors: | Giner, Javier ; Morini, Sandra ; Rosillo, Rafael |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 47.2016, 4, p. 527-549
|
Subject: | VIX | VDAX | Forecasting | Realized volatility | Maturity | USA | United States | Volatilität | Volatility | Deutschland | Germany | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Prognose | Forecast | Schätzung | Estimation | Aktienindex | Stock index |
-
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda, (2023)
-
Which sentiment index is more informative to forecast stock market volatility? : evidence from China
Liang, Chao, (2020)
-
Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de, (2002)
- More ...
-
Correlation As Probability : Applications of Sheppard’s Formula to Financial Assets
Giner, Javier, (2018)
-
Improving the Quality of the Input in the Term Structure Consistent Models
Giner, Javier, (2001)
-
Forecasting DAX 30 using support vector machines and VDAX
Rosillo, Rafael, (2014)
- More ...