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Forecasting with Option Implied Information
Christoffersen, Peter; Jacobs, Kris; Chang, Bo Young - School of Economics and Management, University of Aarhus - 2011
volatility, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …
Persistent link: https://www.econbiz.de/10009385753
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Forecasting with option-implied information
Christoffersen, Peter F.; Jacobs, Kris; Chang, Bo Young - 2013
Persistent link: https://www.econbiz.de/10011507021
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Chapter 10. Forecasting with Option-Implied Information
Christoffersen, Peter; Jacobs, Kris; Chang, Bo Young - In: Handbook of Economic Forecasting : volume 2, part A, (pp. 581-656). 2013
forecasting. We consider option-implied volatilities, skewness, kurtosis, and densities. More generally, we discuss how any …
Persistent link: https://www.econbiz.de/10014025539