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efficient risk and return measures
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implied volatility
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investment strategies
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realized volatility
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returns forecasting
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volatility and index futures
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volatility risk premium
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volatility term structure
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Jabłecki, Juliusz
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Kokoszczyński, Ryszard
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Wydział Nauk Ekonomicznych, Uniwersytet Warszawski
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Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?
Jabłecki, Juliusz
;
Kokoszczyński, Ryszard
;
Sakowski, …
-
Wydział Nauk Ekonomicznych, Uniwersytet Warszawski
-
2014
level (over 30) it is strongly downward sloping. We use those features to better predict future
volatility
and
index
futures
…
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