The information content of option-implied information for volatility forecasting with investor sentiment
Year of publication: |
2015
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Authors: | Seo, Sung Won ; Kim, Jun Sik |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 50.2015, p. 106-120
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Subject: | Investor sentiment | Risk-neutral skewness | Implied volatility | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Anlageverhalten | Behavioural finance | Informationswert | Information value | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Optionsgeschäft | Option trading | ARCH-Modell | ARCH model |
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