A test of efficiency for the S&P 500 index option market using variance forecasts

A test of efficiency for the S&P 500 index option market using variance forecasts
Author: Jaesun Noh
Publisher:
Total Pages: 29
Release: 1993
Genre:
ISBN:


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A test of efficiency for the S&P 500 index option market using variance forecasts
Language: es
Pages: 29
Authors: Jaesun Noh
Categories:
Type: BOOK - Published: 1993 - Publisher:

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Forecasting Volatility in the Financial Markets
Language: en
Pages: 428
Authors: Stephen Satchell
Categories: Business & Economics
Type: BOOK - Published: 2011-02-24 - Publisher: Elsevier

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Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding v
Essays on Option Market and Testing for Seasonal Unit Roots
Language: en
Pages: 282
Authors: Jaesun Noh
Categories: Forecasting
Type: BOOK - Published: 1993 - Publisher:

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Index-option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
Language: en
Pages: 48
Authors: Robert F. Engle
Categories: Stock options
Type: BOOK - Published: 1993 - Publisher:

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In pricing primary-market options and in making secondary markets, financial intermediaries depend on the quality of forecasts of the variance of the underlying
Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market
Language: en
Pages: 17
Authors: Evdokia Xekalaki
Categories:
Type: BOOK - Published: 2005 - Publisher:

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The performance of an ARCH model selection algorithm based on the standardized prediction error criterion (SPEC) is evaluated. The evaluation of the algorithm i