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.

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.
2005
BEDENDO M; HODGES S.D; ANAGNOU I; TOMPKINS R
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/704451
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