Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices
Feng Wu, Robert J. Myers, Zhengfei Guan, Zhiguang Wang
| Year of publication: |
December 2015
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|---|---|
| Authors: | Wu, Feng ; Myers, Robert J. ; Guan, Zhengfei ; Wang, Zhiguang |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 34.2015, p. 260-274
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| Subject: | Volatility risk premium | Model-free implied volatility | Diffusion jump | GMM estimation | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Momentenmethode | Method of moments | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Index-Futures | Index futures | Schätzung | Estimation | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2015.07.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011557143