Forecasting the volatility of asset returns: the informational gains from option prices

journal contribution

posted on 2021-04-01, 00:00 authored by Vance L Martin, Chrismin Tang, Wenying Yao

Forecasting the volatility of asset returns: the informational gains from option prices

History

Journal

International journal of forecasting

Volume

37

Season

April-June

Pagination

862-880

Location

Amsterdam, The Netherlands

ISSN

0169-2070

Language

eng

Publication classification

C1 Refereed article in a scholarly journal, C Journal article

Issue

2

Publisher

Elsevier

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Categories

Keywords

Realized GARCH VIX Leverage effect Volatility forecasting S&P 500 index Department of Economics 3502 Banking, finance and investment

Licence

All Rights Reserved

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