Similar Search Results - EconBiz

Nowcasting networks

Chataigner, Marc; Crépey, Stéphane; Pu, Jiang - In: The journal of computational finance 24 (2020) 3, pp. 1-39

Persistent link: https://www.econbiz.de/10012543628

Physics-informed convolutional transformer for predicting volatility surface

Kim, Soohan; Yun, Seok-Bae; Bae, Hyeong-Ohk; Lee, Muhyun; … - In: Quantitative finance 24 (2024) 2, pp. 203-220

Persistent link: https://www.econbiz.de/10014551964

The Information Content of The Implied Volatility Surface : Can Option Prices Predict Jumps?

Han, Yufeng - 2020

We ask whether option prices contain information on the likelihood and direction of jumps in the underlying stock prices. Applying the partial least squares (PLS) approach to the entire surface of the implied volatilities (IV), we show that option prices can successfully predict downward jumps...

Persistent link: https://www.econbiz.de/10012847745

A practical guide to forecasting : financial markets volatility

Poon, Ser-Huang - 2005

Persistent link: https://www.econbiz.de/10013489917

Implied volatility surfaces : a comprehensive analysis using half a billion option prices

Ulrich, Maxim; Zimmer, Lukas; Merbecks, Constantin - In: Review of derivatives research 26 (2023) 2/3, pp. 135-169

Persistent link: https://www.econbiz.de/10014423871

Index-option pricing with stochastic volatility and the value of accurate variance forecasts

Engle, Robert F.; Kane, Alex; Noh, Jaesun - 1993

Persistent link: https://www.econbiz.de/10000886028

Predicting volatility of stock indexes for option pricing on a small security market

Berglund, Tom; Hedvall, Kaj; Liljeblom, Eva - 1990

Persistent link: https://www.econbiz.de/10000816312

Index-option pricing with stochastic volatility and the value of accurate variance forecasts

Engle, Robert F.; Kane, Alex; Noh, Jaesun - 1993

Persistent link: https://www.econbiz.de/10000877913

The impact of jump dynamics on the predictive power of option-implied densities

Wang, Yaw-huei - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 9-22

Persistent link: https://www.econbiz.de/10003852617

Stock market volatility and the forecasting performance of stock index futures

Wang, Janchung - In: Journal of forecasting 28 (2009) 4, pp. 277-292

Persistent link: https://www.econbiz.de/10003869090

A service of the