Exploring forecast error and the informational content of implied volatility in the Taiwan market
Yen-Hsien Lee; Chi-Tai Lin; Shu-Mei Chiang
| Year of publication: |
2012
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|---|---|
| Authors: | Lee, Yen-Hsien ; Lin, Chi-tai ; Chiang, Shu-mei |
| Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 41.2012, 5, p. 590-609
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| Subject: | Forecast error | Implied volatility | Autoregressive conditional jump intensity model | Informational content | Orthogonality test | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Taiwan | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Informationswert | Information value | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Optionsgeschäft | Option trading | Statistischer Fehler | Statistical error |
| 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://ebvufind01.dmz1.zbw.eu/10009665556