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ArticleProbabilistic forecasts of volatility and its risk premia

Worapree Ole Maneesoonthorn2012

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Articlegreen2012

Probabilistic forecasts of volatility and its risk premia

Worapree Ole Maneesoonthorn · Gael M. Martin · Catherine Scipione Forbes · Simone D. Grose

20 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2003Modeling and Forecasting Realized Volatility 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities 1998Evaluating Interval Forecasts 2008A Simple Approximate Long-Memory Model of Realized Volatility 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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2020The determinants of bank loan recovery rates in good times and bad – New evidence

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Year2012

Typearticle

Published2012-07-07

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations20

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2012.06.006

openalex_workW2082329649

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