Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices
Year of publication: |
December 2015
|
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Authors: | Wu, Feng ; Myers, Robert J. ; Guan, Zhengfei ; Wang, Zhiguang |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 34.2015, p. 260-274
|
Subject: | Volatility risk premium | Model-free implied volatility | Diffusion jump | GMM estimation | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Momentenmethode | Method of moments | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Index-Futures | Index futures | Schätzung | Estimation | Derivat | Derivative |
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