Financial volatility modeling with option-implied information and important macro-factors
Stavroula Yfanti and Menelaos Karanasos
| Year of publication: |
2022
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|---|---|
| Authors: | Yfanti, Stavroula ; Karanasos, Menelaos |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 73.2022, 9, p. 2129-2149
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| Subject: | Economic policy uncertainty | high-frequency data | implied volatility | macro-financial linkages | realized variance | risk management | Volatilität | Volatility | Finanzmarkt | Financial market | Börsenkurs | Share price | Wirtschaftspolitik | Economic policy | Risikomanagement | Risk management | Risiko | Risk | Varianzanalyse | Analysis of variance | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2021.1966327 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013532426