Skew index : descriptive analysis, predictive power, and short-term forecast
Andrés Mora-Valencia, Santiago Rodríguez-Raga, Esteban Vanegas
| Year of publication: |
2021
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|---|---|
| Authors: | Mora-Valencia, Andrés ; Rodríguez-Raga, Santiago ; Vanegas, Esteban |
| 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. 56.2021, p. 1-21
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| Subject: | Fear index | GARCH | Skew Index | VIX | Aktienindex | Stock index | Prognoseverfahren | Forecasting model | Index | Index number | Index-Futures | Index futures | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101356 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012821304