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Valuation of Variance Forecasts with Simulated Option Markets

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Author Info
Robert F. Engle
Che-Hsiung Ted Hong
Alex Kane

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Abstract

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Publisher Info
Paper provided by Department of Economics, UC San Diego in its series University of California at San Diego, Economics Working Paper Series with number 90-16.

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Date of creation: Apr 1990
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Handle: RePEc:cdl:ucsdec:90-16

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September. [Downloadable!] (restricted)
  2. Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June. [Downloadable!] (restricted)
  3. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59. [Downloadable!] (restricted)
  4. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July. [Downloadable!] (restricted)
  5. Zvi Bodie, 1988. "Inflation, Index-Linked Bonds, and Asset Allocation," NBER Working Papers 2793, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  1. Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. A.S.K. Wong & P.J.G. Vlaar, 2003. "Modelling time-varying correlations of financial markets," WO Research Memoranda (discontinued) 739, Netherlands Central Bank, Research Department. [Downloadable!]
  3. Kenneth D. West & Hali J. Edison & Dongchul Cho, 1992. "A Utility Based Comparison of Some Models of Exchange Rate Volatility," NBER Technical Working Papers 0128, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. repec:att:wimass:19199936 is not listed on IDEAS
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This page was last updated on 2009-11-17.

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