Probabilistic forecasts of volatility and its risk premia

DOI10.1016/j.jeconom.2012.06.006zbMath1443.62364OpenAlexW2082329649MaRDI QIDQ528102

Worapree Maneesoonthorn, Catherine S. Forbes, Simone D. Grose, Gael M. Martin

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001534

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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