The predictive power of volatility models : evidence from the ETF market
Chang-Wen Duan; Jung-Chu Lin
| Year of publication: |
2014
|
|---|---|
| Authors: | Duan, Chang-wen ; Lin, Jung-chu |
| Published in: |
Investment management and financial innovations. - Sumy : Publishing Company "Business Perspectives", ISSN 1810-4967, ZDB-ID 2467221-X. - Vol. 11.2014, 2, p. 100-110
|
| Subject: | volatility model | implied volatility | volatility index | incremental information | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Indexderivat | Index derivative | ARCH-Modell | ARCH model | Index-Futures | Index futures | Optionspreistheorie | Option pricing theory |
| 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/10010392825