The information content of risk-neutral skewness for volatility forecasting
Suk Joon Byun; Jun Sik Kim
| Year of publication: |
2013
|
|---|---|
| Authors: | Byun, Suk Joon ; Kim, Jun Sik |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 23.2013, p. 142-161
|
| Subject: | Volatility forecast | Realized volatility | Risk-neutral skewness | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Börsenkurs | Share price | Wechselkurs | Exchange rate | Informationswert | Information value |
| 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/10010221765