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Modelling the implied probability of stock market movements

Glatzer, Ernst (contributor); Scheicher, Martin (contributor) - 2003

Persistent link: https://www.econbiz.de/10001749468

Wie wahrscheinlich sind Kurseinbrüche auf dem deutschen Aktienmarkt?

Glatzer, Ernst; Scheicher, Martin - In: Finanzmarktstabilitätsbericht (2001), pp. 177-188

Persistent link: https://www.econbiz.de/10001649644

The forecasting performance of German stock option densities

Craig, Ben R.; Glatzer, Ernst; Keller, Joachim G.; … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002542704

What moves the tail? : The determinants of the option-implied probability density function of the DAX index

Glatzer, Ernst; Scheicher, Martin - In: The journal of futures markets 25 (2005) 6, pp. 515-536

Persistent link: https://www.econbiz.de/10002846386

The forecasting performance of German stock option densities

Craig, Ben R.; Glatzer, Ernst; Keller, Joachim; … - 2003

In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...

Persistent link: https://www.econbiz.de/10011432259