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Predictable dynamics in the S&P 500 index options implied volatility surface

Gonçalves, Silva (contributor); … - 2005

"One key stylized fact in the empirical option pricing literature is the existence of an implied volatility surface … (IVS). The usual approach consists of fitting a linear model linking the implied volatility to the time to maturity and the … Dumas et al. (1998). In the second-stage we model the dynamics of the cross-sectional first-stage implied volatility surface …

Persistent link: https://www.econbiz.de/10002977383

Implied volatility from options on gold futures : do statistical forecasts add value or simply paint the lilly?

Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001982800

A steady-state approach to trend/cycle decomposition

Morley, James C. (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001987194

Forecasting output with information from business cycle turning points : a qualitative variable VAR

Dueker, Michael (contributor); … - 2001 - [Elektronische Ressource].

Persistent link: https://www.econbiz.de/10001965117

Market timing with aggregate and idiosyncratic stock volatilities

Guo, Hui (contributor); Higbee, Jason (contributor) - 2005 - rev.

Persistent link: https://www.econbiz.de/10003344908

Does stock market volatility forecast returns : the international evidence

Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001979873

Does idiosyncratic risk matter : another look

Guo, Hui (contributor); Savickas, Robert (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001984084

Forecasting foreign exchange volatility : is implied volatility the best we can do?

Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001974118

Predicting exchange rate volatility : genetic programming vs. GARCH and RiskMetrics

Neely, Christopher J. (contributor); … - 2001 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001941461

International asset allocation under regime switching, skew and kurtosis preferences

Guidolin, Massimo (contributor); … - 2005

"This paper proposes a new tractable approach to solving asset allocation problems in situations with a large number of risky assets which pose problems for standard numerical approaches. Investor preferences are assumed to be defined over moments of the wealth distribution such as its skewness...

Persistent link: https://www.econbiz.de/10002977388