Forecasting volatility : a reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
Gloria González-Rivera; Tae-Hwy Lee; Santosh Mishra
| Year of publication: |
2004
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|---|---|
| Authors: | González-Rivera, Gloria ; Lee, Tae-hwy ; Mishra, Santosh |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 20.2004, 4, p. 629-645
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| Subject: | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Nutzenfunktion | Utility function | Volatilität | Volatility | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10002434305