On the predictive power of implied volatility indexes: A comparative analysis with GARCH forecasted volatility
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More about this item
Keywordsimplied volatility; volatility forecasts; GARCH models; volatility indices;
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-03 (All new papers)
- NEP-ETS-2012-11-03 (Econometric Time Series)
- NEP-FOR-2012-11-03 (Forecasting)
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