The information content of ASX SPI 200 implied volatility
Hassan Tanha (College of Business Victoria University, Melbourne, Australia), Michael Dempsey (School of Economics, Finance and Marketing RMIT University, Melbourne VIC Australia)
| Year of publication: |
March 2016
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|---|---|
| Authors: | Tanha, Hassan ; Dempsey, Michael |
| Published in: |
Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 19.2016, 1, p. 1-14
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| Subject: | Implied volatility | VIX | volatility forecasts | informational efficiency | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Informationswert | Information value | Theorie | Theory | Börsenkurs | Share price | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219091516500028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011490536