Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market
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- Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
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- Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," MPRA Paper 96276, University Library of Munich, Germany.
- Miazhynskaia, Tatiana & Fruhwirth-Schnatter, Sylvia & Dorffner, Georg, 2006. "Bayesian testing for non-linearity in volatility modeling," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 2029-2042, December.
- Stavros Degiannakis & Evdokia Xekalaki, 2008.
"SPEC model selection algorithm for ARCH models: an options pricing evaluation framework,"
Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(6), pages 419-423.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2008. "SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework," MPRA Paper 96321, University Library of Munich, Germany.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2007. "Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models," MPRA Paper 96324, University Library of Munich, Germany.
- Stavros Degiannakis & Evdokia Xekalaki, 2007.
"Simulated evidence on the distribution of the standardized one-step-ahead prediction errors in ARCH processes,"
Applied Financial Economics Letters, Taylor & Francis Journals, vol. 3(1), pages 31-37.
- Degiannakis, Stavros & Xekalaki, Evdokia, 2007. "Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes," MPRA Paper 96326, University Library of Munich, Germany.
- Andrada-Félix, Julián & Fernández-Rodríguez, Fernando & Fuertes, Ana-Maria, 2016. "Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?," International Journal of Forecasting, Elsevier, vol. 32(3), pages 695-715.
- Vasilios Sogiakas, 2017. "Option trading for optimizing volatility forecasting," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 6(3), pages 1-3.
- Stavros Degiannakis & Alexandra Livada, 2016.
"Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors,"
Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(5), pages 871-892, April.
- Degiannakis, Stavros & Livada, Alexandra, 2013. "Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors," MPRA Paper 67968, University Library of Munich, Germany.
- Degiannakis, Stavros, 2017.
"The one-trading-day-ahead forecast errors of intra-day realized volatility,"
Research in International Business and Finance, Elsevier, vol. 42(C), pages 1298-1314.
- Degiannakis, Stavros, 2016. "The one-trading-day-ahead forecast errors of intra-day realized volatility," MPRA Paper 80163, University Library of Munich, Germany.
- Degiannakis, Stavros, 2018.
"Multiple days ahead realized volatility forecasting: Single, combined and average forecasts,"
Global Finance Journal, Elsevier, vol. 36(C), pages 41-61.
- Degiannakis, Stavros, 2018. "Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts," MPRA Paper 96272, University Library of Munich, Germany.
- Borovkova, Svetlana & Permana, Ferry J., 2009. "Implied volatility in oil markets," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2022-2039, April.
- Angelidis, Timotheos & Degiannakis, Stavros, 2008.
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Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 449-465, December.
- Angelidis, Timotheos & Degiannakis, Stavros, 2008. "Volatility forecasting: Intra-day versus inter-day models," MPRA Paper 96322, University Library of Munich, Germany.
- Angelidis, Timotheos & Degiannakis, Stavros, 2008. "Volatility forecasting: intra-day vs. inter-day models," MPRA Paper 80434, University Library of Munich, Germany.
- Ane, Thierry, 2006. "An analysis of the flexibility of Asymmetric Power GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1293-1311, November.
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More about this item
Keywords
ARCH models; Forecast Volatility; Model selection; Predictability; Standardized Prediction Error Criterion; Option Pricing;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- 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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
Statistics
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