The rise and fall of S&P500 variance futures
Chia-Lin Chang; Juan-Angel Jimenez-Martin; Michael McAleer; Teodosio Perez Amaral
| Year of publication: |
2011 ; Rev.
|
|---|---|
| Authors: | Chang, Chia-Lin ; Jimenez-Martin, Juan-Angel ; McAleer, Michael ; Pérez Amaral, Teodosio |
| Publisher: |
Rotterdam : Econometric Institute |
| Subject: | Portfolio-Management | Portfolio selection | Derivat | Derivative | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling | ARCH-Modell | ARCH model | Schätzung | Estimation | 2006-2011 |
freely available
| Extent: | Online-Ressource (25 S., 300 KB) graph. Darst. |
|---|---|
| Series: | Econometric Institute research papers. - Rotterdam : [Verlag nicht ermittelbar], ZDB-ID 2169625-1. - Vol. 2011-37 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Other identifiers: | hdl:1765/26880 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009619346