Forecasting implied volatility risk indexes : international evidence using Hammerstein-ARX approach
Kais Tissaoui
| Year of publication: |
2019
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|---|---|
| Authors: | Tissaoui, Kais |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 64.2019, p. 232-249
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| Subject: | Forecasting | Hammerstein-ARX | Long-memory behavior | Particle swarm optimization | Spreading risk | Volatility risk indexes | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risiko | Risk | Aktienindex | Stock index | Welt | World | Risikoprämie | Risk premium | Optionsgeschäft | Option trading | Index | Index number | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2019.06.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012208480