The information content of intraday implied volatility for volatility forecasting
Yaw-Huei Wang and Yun-Yi Wang
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Wang, Yaw-Huei ; Wang, Yun-Yi |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 35.2016, 2, p. 167-178
|
| Subject: | implied volatility | VIX | intraday | volatility forecasting | crisis | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Optionsgeschäft | Option trading | Aktienmarkt | Stock market | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2373 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011580247