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Hanke, Michael; Poulsen, Rolf; Weissensteiner, Alex - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2663-2683

Persistent link: https://www.econbiz.de/10012128877

Forecasting market index volatility using Ross-recovered distributions

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Quantitative finance 22 (2022) 2, pp. 255-271

Persistent link: https://www.econbiz.de/10013167736

Comments on "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices"

Carnero, M. Angeles - In: International journal of forecasting 28 (2012) 1, pp. 36-38

Persistent link: https://www.econbiz.de/10009580803

Hanke, Michael - 2020

Betting quotes provide valuable information on market-implied probabilities for outcomes of events like elections or referendums, which may have an impact on exchange rates. We generate exchange rate forecasts around such events based on a model that combines risk-neutral event probabilities...

Persistent link: https://www.econbiz.de/10012854895

Forecasting the Distribution of Option Returns

Israelov, Roni - 2017

future option return has two sources: Changes in the position and shape of the implied volatility surface that shift option … surface and thus its value (holding the surface fixed). We estimate a joint time series model of the spot price and volatility … traditional no-arbitrage option models with stochastic volatility and jumps …

Persistent link: https://www.econbiz.de/10012948292