Forecasting stock market volatility and information content of implied volatility index
Year of publication: |
May 2018
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Authors: | Pati, Pratap Chandra ; Barai, Parama ; Rajib, Prabina |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 50.2018, 23, p. 2552-2568
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Subject: | Implied volatility index | information content | EGARCH | realized volatility | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Informationswert | Information value | Aktienmarkt | Stock market | Börsenkurs | Share price | Aktienindex | Stock index | Theorie | Theory | Optionsgeschäft | Option trading |
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