Probabilistic forecasts of volatility and its risk premia
Worapree Maneesoonthorn; Gael M. Martin; Catherine S. Forbes; Simone D. Grose
| Year of publication: |
2012
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|---|---|
| Authors: | Maneesoonthorn, Worapree ; Martin, Gael M. ; Forbes, Catherine Scipione ; Grose, Simone D. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 171.2012, 2, p. 217-236
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| Subject: | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Theorie | Theory | Schätzung | Estimation | Börsenkurs | Share price | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10009691156