Forecasting the volatility of asset returns: The informational gains from option prices
Sign Up to like & getrecommendations! Published in 2021 at "International Journal of Forecasting"
DOI: 10.1016/j.ijforecast.2020.09.012
Abstract: Abstract A new class of forecasting models is proposed that extends the realized GARCH class of models through the inclusion of option prices to forecast the variance of asset returns. The VIX is used to… read more here.
Keywords: option prices; asset returns; variance; forecasting ... See more keywords
A model-free, non-parametric method for density determination, with application to asset returns
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DOI: 10.1016/j.physa.2018.11.011
Abstract: The distribution of the returns of an asset is still an open problem despite the variety of models and methods devised to deal with it. In this note we propose a model-free, nonparametric method for… read more here.
Keywords: free non; model free; method; density ... See more keywords