STOCK MARKET VOLATILITY AND THE FORECASTING ACCURACY OF IMPLIED VOLATILITY INDICES
Year of publication: |
2006-03
|
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Authors: | NISHINA, Kazuhiko ; MAGHREBI, Tatsuro Nabil ; KIM, Moo-Sung |
Institutions: | Graduate School of Economics, Osaka University |
Subject: | Licensing | Implied volatility index | Out-of-sample forecasting | GARCH modelling |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 06-09 33 pages |
Classification: | C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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