Information gains from using short-dated options for measuring and forecasting volatility
Year of publication: |
2022
|
---|---|
Authors: | Todorov, Viktor ; Zhang, Yang |
Published in: |
Journal of applied econometrics. - Chichester [u.a.] : Wiley, ISSN 1099-1255, ZDB-ID 1500458-2. - Vol. 37.2022, 2, p. 368-391
|
Subject: | high-frequency data | nonparametric volatility estimation | options | return predictability | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Optionspreistheorie | Option pricing theory | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Prognose | Forecast |
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