Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities
AbstractPublished also as: Documento de Trabajo Banco de España 0504/2005.
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Bibliographic InfoPaper provided by University of the Basque Country - Department of Foundations of Economic Analysis II in its series DFAEII Working Papers with number 2005-09.
Date of creation: Jan 2005
Date of revision:
Postal: Dpto. de Fundamentos del Análisis Económico II, = Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
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- Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Banco de Espaï¿½a Working Papers 0630, Banco de Espa�a.
- Birru, Justin & Figlewski, Stephen, 2012. "Anatomy of a meltdown: The risk neutral density for the S&P 500 in the fall of 2008," Journal of Financial Markets, Elsevier, vol. 15(2), pages 151-180.
- Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Spanish Economic Review, Springer, vol. 11(2), pages 141-164, June.
- Duca, Ioana Andreea & Ruxanda, Gheorghe, 2013. "A View on the Risk-Neutral Density Forecasting of the Dax30 Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 101-114, June.
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