On the role of risk premia in volatility forecasting
Article Abstract:
The role of the risk premium in leading to the disparity in volatility forecasting is explained. This disparity is shown to be a function of the latent spot volatility. Empirical exercises based on at-the-money implied volatility series support the explanation.
Publisher: American Statistical Association
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2007
United States, Science & research, Research, Report, Market risk, Volatility (Finance)
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2007
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Robust regression shrinkage and consistent variable selection through the LAD-Lasso
Article Abstract:
Regression analysis is used to examine the least absolute deviation in analyzing variance in dataset application errors.
Publisher: American Statistical Association
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2007
China, Methods, Analysis, Usage, Analysis of variance, Regression analysis, Least absolute deviations (Statistics)
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2007
User Contributions:
Comment about this article or add new information about this topic:
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