Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?
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More about this item
Keywordsvolatility term structure; volatility risk premium; volatility and index futures; realized volatility; implied volatility; investment strategies; returns forecasting; efficient risk and return measures;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-07-13 (All new papers)
- NEP-FOR-2014-07-13 (Forecasting)
- NEP-RMG-2014-07-13 (Risk Management)
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