Forecasting stock market volatility and information content of implied volatility index
Pratap Chandra Pati, Parama Barai and Prabina Rajib
| 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 | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Informationswert | Information value | Index | Index number | Aktienindex | Stock index | Optionsgeschäft | Option trading | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2017.1403557 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011850295