On the predictability of model-free implied correlation
Chryssa Markopoulou, Vasiliki Skintzi, Apostolos Refenes
| Year of publication: |
April-June 2016
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| Authors: | Markopoulou, Chryssa ; Skintzi, Vasiliki ; Refenes, Apostolos-Paul |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 32.2016, 2, p. 527-547
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| Subject: | Predictability | Implied correlation | Combining forecasts | Market efficiency | Option strategy | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Effizienzmarkthypothese | Efficient market hypothesis | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Prognose | Forecast | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2015.09.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011597186