The predictive value of temporally disaggregated volatility : evidence from index futures markets
Year of publication: |
2008
|
---|---|
Authors: | Taylor, Nicholas |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 27.2008, 8, p. 721-742
|
Subject: | Index-Futures | Index futures | Volatilität | Volatility | Aggregation | Prognoseverfahren | Forecasting model |
-
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F., (1993)
-
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F., (1993)
-
Early news is good news : the effects of market opening on market volatility
Gallo, Giampiero M., (1998)
- More ...
-
Supporting Social Protection Systems
Samson, Michael J., (2015)
-
Time-varying price discovery in fragmented markets
Taylor, Nicholas, (2011)
-
Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market
Taylor, Nicholas, (2004)
- More ...