Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
Year of publication: |
2004
|
---|---|
Authors: | Gonzalez-Rivera, Gloria ; Lee, Tae-Hwy ; Mishra, Santosh |
Published in: |
International Journal of Forecasting. - Elsevier, ISSN 0169-2070. - Vol. 20.2004, 4, p. 629-645
|
Publisher: |
Elsevier |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk
Mishra, Santosh, (2004)
-
Optimality of the RiskMetrics VaR model
Gonzalez-Rivera, Gloria, (2007)
-
Jumps in cross-sectional rank and expected returns: a mixture model
González-Rivera, Gloria, (2008)
- More ...