Probabilistic forecasts of volatility and its risk premia

Worapree Maneesoonthorn, Gael M. Martin, Catherine S. Forbes and Simone Grose

Year of publication:	2010
Authors:	Maneesoonthorn, Worapree ; Martin, Gael M. ; Forbes, Catherine Scipione ; Grose, Simone D.
Publisher:	Clayton, Vic. : Dep. of Econometrics and Business Statistics, Monash Univ.
Subject:	Risikoprämie \| Risk premium \| Volatilität \| Volatility \| Prognoseverfahren \| Forecasting model \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Bayes-Statistik \| Bayesian inference \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Zustandsraummodell \| State space model

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