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Pouvoir prédictif de la volatilité implicite dans le prix des options de change

Rzepkowski, Bronka - In: Economie & prévision : EP (2001) 2, pp. 71-97

Persistent link: https://www.econbiz.de/10001674730

Pouvoir prédictif de la volatilité implicite dans le prix des options de change

Rzepkowski, Bronka - 2001

Persistent link: https://www.econbiz.de/10001563631

Volatility forecasting using financial statement information

Sridharan, Suhas A. - In: The accounting review : a publication of the American … 90 (2015) 5, pp. 2079-2106

Persistent link: https://www.econbiz.de/10011375882

Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets

Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399

Persistent link: https://www.econbiz.de/10010528976

Range-based volatility estimation and forecasting

Benčík, Daniel - 2014

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …

Persistent link: https://www.econbiz.de/10010461231