Volatility Control Indices

This document offers an overview of analytical properties of volatility control indices,including the statistical bias, comparing various volatility estimators and the impact of stochastic interest rates on long-dated volatility target indices

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Year of publication:	2015
Authors:	Kahl, Christian
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Wirtschaftsindikator \| Economic indicator \| Aktienindex \| Stock index \| Theorie \| Theory \| Index \| Index number \| Controlling \| Management control \| ARCH-Modell \| ARCH model \| Indexberechnung \| Index construction

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Extent:	1 Online-Ressource (10 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 26, 2015 erstellt
Other identifiers:	10.2139/ssrn.2701994 [DOI]
Classification:	G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013010458