Options-driven volatility forecasting
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Asymptotic analysis for stochastic volatility: martingale expansion
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Calibration and simulation of Heston model
- Closed-form implied volatility surfaces for stochastic volatility models with jumps
- Common-factor stochastic volatility modelling with observable proxy
- Cross-impact of order flow imbalance in equity markets
- Dynamics of implied volatility surfaces
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Estimating variance from high, low and closing prices
- Exploiting the errors: a simple approach for improved volatility forecasting
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 3579922 (Why is no real title available?)
- Information content of liquidity and volatility measures
- Lassoing the HAR model: a model selection perspective on realized volatility dynamics
- Measuring downside risk -- realized semivariance
- On calibration of stochastic and fractional stochastic volatility models
- The fine-structure of volatility feedback. I: Multi-scale self-reflexivity
- The Model Confidence Set
- Volatility conditional on price trends
- Volatility is (mostly) path-dependent
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