Using the Prediction Error Criterion as a Selection Method in Forecasting Option Prices: A Simulation Approach (original) (raw)
Related papers
Using a Prediction Error Criterion for Model Selection in Forecasting Option Prices
Technical Report no 131, Department of Statistics, Athens University of Economics and Business, 2001
Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market
ΣΤΑΥΡΟΣ ΝΤΕΓΙΑΝΝΑΚΗΣ, Evdokia Xekalaki
Computational Statistics and Data Analysis. (Special Issue on Computational Econometrics), 49(2), 611-629, 2005
A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts
1993
A TEST OF EFFICIENCY FOR THE S&P 500 INDEX OPTION MARKET USING VARIANCE FORECASTS
1993
2003
SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework
Applied Financial Economics Letters, 4(6), 419-423, 2008
Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm
Technical Report no 133, Department of Statistics, Athens University of Economics and Business, 2001
The quality of market volatility forecasts implied by S&P 100 index option prices
Journal of Empirical Finance, 1998
A Comparison of the Standardized Prediction Error Criterion with other ARCH Model Selection Criteria
Technical Report no 205, Department of Statistics, Athens University of Economics and Business, 2004
Implied Volatility Forecasting in the Options Market: A Survey
Sains Humanika, 2016
Volatility Forecasts for the RTS Stock Index: Option-Implied Volatility Versus Alternative Methods
2019
VOLATILITY FORECASTS: DO VOLATILITY ESTIMATORS AND EVALUATION METHODS MATTER
On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
Journal of Financial Econometrics, 2008
Forecasting Volatility and Pricing Option: An Empirical Evaluation of Indian Stock Market
IOSR Journal of Business and Management, 2017
A test of two models in forecasting stock index futures price volatility
Journal of Futures Markets, 1991
Selecting the Best Forecasting-Implied Volatility Model Using Genetic Programming
Advances in Decision …, 2009
Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria
2007
ΣΤΑΥΡΟΣ ΝΤΕΓΙΑΝΝΑΚΗΣ, Evdokia Xekalaki
Applied Financial Economics, 17, 149-171, 2007
Volatility Forecasts: A Continuous Time Model Versus Discrete Time MODELS1
Statistics and Econometrics Working Papers, 2006
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Review of Derivatives Research, 1996
Probabilistic forecasts of volatility and its risk premia
Simone Grose, Catherine Forbes
Journal of Econometrics, 2012
Forecasting using alternative measures of model-free option-implied volatility
Journal of Futures Markets, 2017
Selection of Heteroscedastic Models: A Time Series Forecasting Approach
Applied Mathematics, 2019
Forecasting stock market volatility and the informational efficiency of the DAX-index options market
The European Journal of Finance, 2002
Comparative Study of Volatility Forecasting Models: The Case
Economics World ISSN 2328-7144
Analytical Evaluation of Volatility Forecasts*
International Economic Review, 2004
Chapter 15 Volatility and Correlation Forecasting
Handbook of Economic Forecasting, 2006
2013
Predictability and predictors of volatility smirk: a study on index options
Business: Theory and Practice, 2017
Volatility forecasts: a continuous time model versus discrete time models
Nº.: UC3M Working Papers. Statistics and …, 2006
Optimal Prediction Periods for New and Old Volatility Indexes in USA and German Markets
Computational Economics, 2015
SSRN Electronic Journal, 2000
Euro Asia International Journals
Forecasting volatility in the Singapore stock market
Asia Pacific Journal of Management, 1992
Stock market volatility and the forecasting accuracy of implied volatility indices
Discussion Papers in …, 2006