Predicting volatility using the Markov-switching multifractal model : evidence from S&P 100 index and equity options
Wen-I Chuang; Teng-Ching Huang; Bing-Huei Lin
| Year of publication: |
2013
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|---|---|
| Authors: | Chuang, Wen-i ; Huang, Teng-ching ; Lin, Bing-huei |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 25.2013, p. 168-187
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| Subject: | Markov-switching multifractal model | Implied volatility | GARCH | Index and equity options | Global financial crisis | Volatilität | Volatility | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | Finanzkrise | Financial crisis | Zeitreihenanalyse | Time series analysis | Aktienindex | Stock index | Börsenkurs | Share price | Index-Futures | Index futures | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009779311