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The forecasting accuracy of implied volatility from ECX carbon options
16 references·2 citing·33 second hop
The forecasting accuracy of implied volatility from ECX carbon options (2014)The forecasting accuracy of implied volat…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …The Econometrics of Financial Markets (2012)The Econometrics of Financial…Options, futures and other derivatives (2008)Options, futures and other de…Modeling the price dynamics of CO2 emission allowances (2008)Modeling the price dynamics o…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…The relation between implied and realized volatility (1998)The relation between implied …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The Econometrics of Financial Markets (1997)The Econometrics of Financial…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …The Informational Content of Implied Volatility (1993)The Informational Content of …Estimating Variance From High, Low and Closing Prices (1991)Estimating Variance From High…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …The pricing of commodity contracts (1976)The pricing of commodity cont…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …Forecasting carbon price in the European carbon market: The role of structural changes (2022)Forecasting carbon price in t…Predicting carbon allowance prices with energy prices: A new approach (2020)Predicting carbon allowance p…The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Model-Free Implied Volatility and Its Information Content (2005)Momentum crashes (2016)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The Cross‐Section of Volatility and Expected Returns (2006)Coherent Measures of Risk (1999)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)There is a risk-return trade-off after all (2005)Stock Market Volatility and Macroeconomic Fundamentals (2012)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Theory of Financial Decision Making. (1988)Does Algorithmic Trading Improve Liquidity? (2011)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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References

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Cited by

  • 2020Predicting carbon allowance prices with energy prices: A new approach87 cited
  • 2022Forecasting carbon price in the European carbon market: The role of structural changes52 cited