Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?
Year of publication: |
2014
|
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Authors: | Jabłecki, Juliusz ; Kokoszczyński, Ryszard ; Sakowski, Paweł ; Ślepaczuk, Robert ; Wójcik, Piotr |
Institutions: | Wydział Nauk Ekonomicznych, Uniwersytet Warszawski |
Subject: | volatility term structure | volatility risk premium | volatility and index futures | realized volatility | implied volatility | investment strategies | returns forecasting | efficient risk and return measures |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2014-18 25 pages |
Classification: | G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; G23 - Pension Funds; Other Private Financial Institutions ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C22 - Time-Series Models |
Source: |
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