The Information Content of S&P 500 Risk-neutral Skewness and VIX Futures for S&P 500 Volatility Forecasting:Markov Switching Approach
碩士 === 國立政治大學 === 金融學系 === 104 === This paper explores whether the information implied from VIX futures prices has incremental explanatory power for future volatility in the S&P 500 index. Most of prior studies adopt linear forecasting models to investigate the usefulness of historical volatilit...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2016
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/37845754128566456128 |