Forecasting variance swap payoffs
Jonathan Dark, Xin Gao, Thijs van der Heijden, Federico Nardari
| Year of publication: |
2022
|
|---|---|
| Authors: | Dark, Jonathan ; Gao, Xin ; Heijden, Thijs van der ; Nardari, Federico |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 12, p. 2135-2164
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| Subject: | forecasting | model selection | variance risk premium | variance swaps | Swap | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Varianzanalyse | Analysis of variance | Theorie | Theory | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22371 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013465873