A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices
Mark B. Shackleton; Stephen J. Taylor; Peng Yu
| Year of publication: |
2010
|
|---|---|
| Authors: | Shackleton, Mark B. ; Taylor, Stephen ; Yu, Peng |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 34.2010, 11, p. 2678-2693
|
| Subject: | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Index-Futures | Index futures | Kapitaleinkommen | Capital income | USA | United States |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008858849