The value of multivariate model sophistication : an application to pricing Dow Jones Industrial Average options
Jeroen Rombouts; Lars Stentoft; Franceso Violante
| Year of publication: |
2013
|
|---|---|
| Authors: | Rombouts, Jeroen V. K. ; Stentoft, Lars ; Violante, Franceso |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 30.2013, 1, p. 78-98
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| Subject: | Option pricing | Economic loss | Forecasting | Multivariate GARCH | Model confidence set | Prognoseverfahren | Forecasting model | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Aktienindex | Stock index | Optionsgeschäft | Option trading | Volatilität | Volatility |
| 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/10010247010