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Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014
, forecasting of the full density for long horizons is feasible, which we pursue. We document variability in conditional variances … over time, which stresses the importance of careful modeling and forecasting of volatility. We show that improved model fit …
Persistent link: https://www.econbiz.de/10010945126
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Forecasting with Option Implied Information
Christoffersen, Peter; Jacobs, Kris; Chang, Bo Young - School of Economics and Management, University of Aarhus - 2011
volatility, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …-implied covariance, correlation and beta forecasting as well as the use of option-implied information in cross-sectional forecasting of …
Persistent link: https://www.econbiz.de/10009385753
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The informational content of over-the-counter currency options
Christoffersen, Peter; Mazzotta, Stefano - European Central Bank - 2004
Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset...
Persistent link: https://www.econbiz.de/10005227533