The information contents of vix index and range-based volatility on volatility forecasting performance of s&p 500
Year of publication: |
2009
|
---|---|
Authors: | Hung, Jui-Cheng |
Published in: |
Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 29.2009, 3, p. 24-24
|
Publisher: |
AccessEcon |
Subject: | Range-based volatilities | GJR-based volatility forecasting | VIX index | SPA test |
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