Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options
Year of publication: |
2007
|
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Authors: | Hwang, Soosung ; Satchell, Stephen |
Published in: |
Forecasting volatility in the financial markets. - Amsterdam [u.a.] : Elsevier [u.a.], ISBN 0-7506-6942-X. - 2007, p. 249-277
|
Subject: | Börsenkurs | Share price | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Optionsgeschäft | Option trading | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Großbritannien | United Kingdom |
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