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.

United States, Science & research, Research, Report, Market risk, Volatility (Finance)

---

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.

China, Methods, Analysis, Usage, Analysis of variance, Regression analysis, Least absolute deviations (Statistics)

---

Similar abstracts:

• Abstracts: Testing the rationality of forecast revisions made by the IMF and the OECD. Political maneuverings as sources of measurement errors in forecasts
• Abstracts: Consistency in the probabilistic assignment model. Reduction - consistency in collective choice problems. Efficient consumption set under recursive utility and unknown beliefs
• Abstracts: Forecasting of curves using a Kohonen classification. Highest-density forecast regions for nonlinear and non-formal time series models
• Abstracts: The evolution of sales forecasting management: a 20-year longitudinal study of forecasting practices. Forecasting the dollar/euro exchange rate: are international parities useful?
• Abstracts: Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter. Estimating the long memory Granger causality effect with a spectrum estimator

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.