GARCH, Implied Volatilities and Implied Distributions: An Evaluation for Forecasting Purposes
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More about this item
KeywordsImplied volatility; GARCH; Forecasting;
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-12-04 (All new papers)
- NEP-ETS-2001-12-04 (Econometric Time Series)
- NEP-FMK-2001-12-04 (Financial Markets)
- NEP-IFN-2001-12-04 (International Finance)
- NEP-LAM-2001-12-04 (Central & South America)
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