Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options
Soosung Hwang and Stephen E. Satchell
| Year of publication: |
2007
|
|---|---|
| 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 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003872982