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Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts. (1993). Kane, Alex ; Engle, Robert ; Noh, Jaesun .
In: NBER Working Papers.
RePEc:nbr:nberwo:4519.

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  1. Climate risks and realized volatility of major commodity currency exchange rates. (2023). GUPTA, RANGAN ; Pierdzioch, Christian ; Cepni, Oguzhan ; Bonato, Matteo.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000519.

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  2. Forecasting the realized variance of oil-price returns using machine learning: Is there a role for U.S. state-level uncertainty?. (2022). GUPTA, RANGAN ; Pierdzioch, Christian ; Pienaar, Daniel ; Epni, Ouzhan.
    In: Energy Economics.
    RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322003723.

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  3. Portfolio Risk Analysis. (2010). Connor, Gregory ; Korajczyk, Robert A ; Goldberg, Lisa R.
    In: Economics Books.
    RePEc:pup:pbooks:9224.

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  4. Rolling-sampled parameters of ARCH and Levy-stable models. (2008). Degiannakis, Stavros ; Panas, Epaminondas ; Livada, Alexandra .
    In: MPRA Paper.
    RePEc:pra:mprapa:80464.

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  5. Volatility forecasting: intra-day vs. inter-day models. (2008). Degiannakis, Stavros ; Angelidis, Timotheos.
    In: MPRA Paper.
    RePEc:pra:mprapa:80434.

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  6. PRICING OF S&P 100 INDEX OPTIONS BASED ON GARCH VOLATILITY ESTIMATES. (2005). Oğuş Binatlı, Ayla.
    In: Finance.
    RePEc:wpa:wuwpfi:0504005.

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  7. Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?. (2005). Starica, Catalin ; Herzel, Stefano ; Nord, Tomas .
    In: Econometrics.
    RePEc:wpa:wuwpem:0508003.

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  8. Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market. (2005). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80468.

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  9. Options trading profits from correlation forecasts. (2004). Chong, James.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:15:p:1075-1085.

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  10. Evaluating interest rate covariance models within a value-at-risk framework. (2004). Lopez, Jose ; Ferreira, Miguel.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2004-03.

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  11. Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood. (2004). Lee, Tae Hwy ; Gonzalez-Rivera, Gloria ; Mishra, Santosh .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:20:y:2004:i:4:p:629-645.

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  12. Forecasting stock market volatility and the informational efficiency of the DAX-index options market. (2002). Mittnik, Stefan ; Claessen, Holger.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200204.

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  13. Forecasting stock market volatility and the informational efficiency of the DAX-index options market. (2002). Mittnik, Stefan ; Claessen, Holger.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:8:y:2002:i:3:p:302-321.

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  14. Smooth Transition Garch Models : a Baysian Perspective. (2001). Lubrano, Michel.
    In: Discussion Papers (REL - Recherches Economiques de Louvain).
    RePEc:ctl:louvre:2001032.

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  15. Dynamic Volatility Trading Strategies in the Currency Option Market. (2000). Guo, Dajiang.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:4:y:2000:i:2:p:133-154.

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  16. Evaluating covariance matrix forecasts in a value-at-risk framework. (2000). Lopez, Jose ; Walter, Christian A..
    In: Working Paper Series.
    RePEc:fip:fedfwp:2000-21.

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  17. A comparison of short-term interest rate models: empirical tests of interest rate volatility. (1998). Niizeki, Mikiyo Kii.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:8:y:1998:i:5:p:505-512.

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  18. Valuing the Futures Market Clearinghouses Default Exposure During the 1987 Crash. (1998). Bates, David ; Craine, Roger .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6505.

    Full description at Econpapers || Download paper

  19. Smooth transition GARCH models: a Bayesian perspective. (1998). Lubrano, Michel.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:1998066.

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  20. Option pricing under stochastic volatility and stochastic interest rate in the Spanish case. (1997). Saez, Marc.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:7:y:1997:i:4:p:379-394.

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  21. Evaluating forecasts of correlation using option pricing. (1997). BOYER, BRIAN H. ; Gibson, Michael S..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:600.

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  22. Delta-neutral volatility trading with intra-day prices: an application to options on the DAX. (1996). Kaehler, Juergen ; Schmitt, Christian .
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:9625.

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  23. Model Error in Contingent Claim Models Dynamic Evaluation. (1996). Jarrow, Robert ; Jacquier, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:96s-12.

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  24. Testing Option Pricing Models. (1995). Bates, David S..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5129.

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  25. Evaluating the predictive accuracy of volatility models. (1995). Lopez, Jose.
    In: Research Paper.
    RePEc:fip:fednrp:9524.

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  26. A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts. (1993). Kane, Alex ; Engle, Robert ; Noh, Jaesun .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4520.

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References

References cited by this document

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  9. Hall, P., and C. C. Heyde. 1980 . .Vlartingale limit theory and its application. New York, NY: Academic Press.
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  10. Heston, J. 1992. Option pricing with stochastic volatility. Working paper, Yale University.
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