Forecasting volatility : a reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
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
|
Subject: | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Nutzenfunktion | Utility function | Volatilität | Volatility | Risikomaß | Risk measure |
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