Zobrazeno 1 - 10
of 13
pro vyhledávání: '"Eugenie Hol"'
Publikováno v:
Koopman, S J, Jungbacker, B M J P & Hol, E 2005, ' Forecasting daily variability of the S &P 100 stock index using historical, realised and implied volatility measurements ', Journal of Empirical Finance, vol. 12, no. 3, pp. 445-475 . https://doi.org/10.1016/j.jempfin.2004.04.009
Journal of Empirical Finance, 12(3), 445-475. Elsevier
Journal of Empirical Finance, 12(3), 445-475. Elsevier
The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility for
This discussion paper resulted in an article in the Journal of Empirical Finance (2005). Vol. 12, issue 3, pages 445-475. The increasing availability of financial market data at intraday frequencies has not only led to the development of improved vol
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::7693b51eee8c2f6c1cfc9845d870513d
http://papers.tinbergen.nl/04016.pdf
http://papers.tinbergen.nl/04016.pdf
Publikováno v:
SSRN Electronic Journal.
The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility for
Publikováno v:
Koopman, S J, Jungbacker, B & Hol, E 2004 ' Forecasting Daily Variability of the S and P 100 Stock Index using Historical, Realised and Implied Volatility Measurements ' Discussion paper TI, no. 04-016/4, Tinbergen Instituut, Amsterdam .
Vrije Universiteit Amsterdam
Vrije Universiteit Amsterdam
The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility for
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::a929e65c63a17eb16687c9e956564230
https://research.vu.nl/en/publications/3c5f01d7-5337-4979-9d59-5a19cbc42130
https://research.vu.nl/en/publications/3c5f01d7-5337-4979-9d59-5a19cbc42130
Autor:
Eugenie Hol
Publikováno v:
Dynamic Modeling and Econometrics in Economics and Finance ISBN: 9781441953759
Forecasts of financial market volatility play a crucial role in financial decision making and the need for accurate forecasts is apparent in a number of areas. All investors face the decision whether or not to hedge the risks associated with their in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::03b7135f99ce6e7cd68da187114b9eb4
https://doi.org/10.1007/978-1-4757-5129-1_6
https://doi.org/10.1007/978-1-4757-5129-1_6
Autor:
Eugenie Hol, Siem Jan Koopman
The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::228fdcf7c3353c21d5913a88a2497d9e
http://papers.tinbergen.nl/02068.pdf
http://papers.tinbergen.nl/02068.pdf
Autor:
Eugenie Hol Uspensky, S.J. Koopman
Publikováno v:
SSRN Electronic Journal.
Autor:
Eugenie Hol Uspensky, Siem Jan Koopman
Publikováno v:
Journal of Applied Econometrics, 17, 667-689. John Wiley and Sons Ltd
Koopman, S J & Hol Uspensky, E 2002, ' The Stochastic Volatility in Mean Model: Empirical evidence from international stock markets ', Journal of Applied Econometrics, vol. 17, pp. 667-689 . https://doi.org/10.1002/jae.652
Koopman, S J & Hol Uspensky, E 2002, ' The Stochastic Volatility in Mean Model: Empirical evidence from international stock markets ', Journal of Applied Econometrics, vol. 17, pp. 667-689 . https://doi.org/10.1002/jae.652
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::37d81becac3fce9fc7bf6ba9a23086ae
https://research.vu.nl/en/publications/2d5c0b95-ff35-435d-b192-fe8352d0b380
https://research.vu.nl/en/publications/2d5c0b95-ff35-435d-b192-fe8352d0b380
Autor:
Eugenie Hol, Siem Jan Koopman
In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation which faci
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::0eb7a02656d4da948fa7ed941f74c36f
http://papers.tinbergen.nl/00104.pdf
http://papers.tinbergen.nl/00104.pdf
Autor:
Siem Jan Koopman, Eugenie Hol Uspensky
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::ad0627362a6f9f489058829eabf581df
http://papers.tinbergen.nl/00024.pdf
http://papers.tinbergen.nl/00024.pdf