Recent research has investigated the ability of option-implied densities to produce unbiased forecasts of the actual price densities of some financial assets. In this paper, for the first time, we assess the incremental predictive power of option-implied density forecasts to that of standard GARCH-based density forecasts.
BEDENDO M, HODGES S.D, ANAGNOU I, TOMPKINS R (2005). Forecasting Accuracy of Implied and GARCH-based Probability Density Functions. THE REVIEW OF FUTURES MARKETS, 11, 41-66.
Forecasting Accuracy of Implied and GARCH-based Probability Density Functions
BEDENDO M;
2005
Abstract
Recent research has investigated the ability of option-implied densities to produce unbiased forecasts of the actual price densities of some financial assets. In this paper, for the first time, we assess the incremental predictive power of option-implied density forecasts to that of standard GARCH-based density forecasts.File in questo prodotto:
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