Implied correlation indices and volatility forecasting
Holger Fink and Sabrina Geppert
| Year of publication: |
May 2017
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|---|---|
| Authors: | Fink, Holger Maria ; Geppert, Sabrina |
| Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 24.2017, 7/9, p. 584-588
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| Subject: | Implied correlation | implied volatility | correlation indices | implied volatility forecasting | Volatilität | Volatility | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | ARCH-Modell | ARCH model | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2016.1213357 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011713025