Forecasting VIX using filtered historical simulation
Yushuang Jiang and Emese Lazar
| Year of publication: |
2022
|
|---|---|
| Authors: | Jiang, Yushuang ; Lazar, Emese |
| Subject: | GARCH | historical filtered simulation | CBOE volatility index | Volatilität | Volatility | Simulation | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Aktienindex | Stock index |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa041 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013349149