Search Results - subject:"Mincer–Zarnowitz regression"

Regression-based expected shortfall backtesting

Bayer, Sebastian; Dimitriadis, Timo - 2022

Persistent link: https://www.econbiz.de/10013349110

An open innovation intraday implied volatility for pricing Australian dollar options

Le, Thi; Hoque, Ariful; Hassan, Kamrul - In: Journal of Open Innovation: Technology, Market, and … 7 (2021) 1, pp. 1-14

closing period of a trading day. The Mincer-Zarnowitz regression test evaluates the predictive power of IV to forecast the …

Persistent link: https://www.econbiz.de/10012620531

An open innovation intraday implied volatility for pricing Australian dollar options

Le, Thi; Hoque, Ariful; Hassan, Kamrul - In: Journal of open innovation : technology, market, and … 7 (2021) 1/23, pp. 1-14

closing period of a trading day. The Mincer-Zarnowitz regression test evaluates the predictive power of IV to forecast the …

Persistent link: https://www.econbiz.de/10012417927

On the statistical properties of multiplicative GARCH models

Conrad, Christian; Kleen, Onno - 2016

model. Second, we extend the results of Andersen and Bollerslev (1998) on the upper bound of the R2 in a Mincer-Zarnowitz … regression to the case of a multiplicative GARCH model, using squared returns as a proxy for the true but unobservable …

Persistent link: https://www.econbiz.de/10011688279

On the statistical properties of multiplicative GARCH models

Conrad, Christian; Kleen, Onno - 2016

Persistent link: https://www.econbiz.de/10011453119