The information content of implied volatility and jumps in forecasting volatility : evidence from the Shanghai gold futures market
Year of publication: |
November 2016
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Authors: | Luo, Xingguo ; Qin, Shihua ; Ye, Zinan |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 19.2016, p. 105-111
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Subject: | Gold futures | Realized volatility | Volatility forecasting | Volatility Index | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Gold | ARCH-Modell | ARCH model | Derivat | Derivative | Kapitaleinkommen | Capital income |
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