Forecasting volatilities in equity, bond and money markets : (Record no. 168271)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 01759nam a22002537a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20241119125208.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 241119b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 03128962 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MSU |
| Language of cataloging | English |
| Transcribing agency | MSU |
| Description conventions | rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HD31 AUG |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Wang, Kent |
| Relator term | author |
| 245 10 - TITLE STATEMENT | |
| Title | Forecasting volatilities in equity, bond and money markets : |
| Remainder of title | a market-based approach/ |
| Statement of responsibility, etc. | created by Kent Wang |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Los Angeles : |
| Name of producer, publisher, distributor, manufacturer | Sage, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2010. |
| 336 ## - CONTENT TYPE | |
| Source | rdacontent |
| Content type term | text |
| Content type code | txt |
| 337 ## - MEDIA TYPE | |
| Source | rdamedia |
| Media type term | unmediated |
| Media type code | n |
| 338 ## - CARRIER TYPE | |
| Source | rdacarrier |
| Carrier type term | volume |
| Carrier type code | nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Australian journal of management |
| Volume/sequential designation | Volume 35, number 2 |
| 520 3# - SUMMARY, ETC. | |
| Summary, etc. | This study examines the forecasting power of the most popular volatility forecasting models in the S&P 500 index market, the Eurodollar futures market, and the 30-year US T-Bond futures market at a daily level using a market-based option-pricing error approach. Comparison has been made between two methods including and excluding implied volatility in option-pricing error approach in forecasting next-day volatilities. To remove any advantage to option-implied volatility, the analysis is performed in two steps. Spurious regression biases and biases in the measurement of volatility forecasts are controlled for.The evidence from this paper supports the use of implied volatility as a proxy for market volatility, as it works best in forecasting next-day realized volatility in all the three US markets. The appropriateness of including implied volatility in option-pricing error approach is also discussed. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Volatility |
| Form subdivision | Forecasting model |
| General subdivision | ARCH model |
| Geographic subdivision | United States |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Wang, Kent |
| Relator term | co author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | https://doi.org/10.1177/0312896210370080 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Shelving location | Date acquired | Serial Enumeration / chronology | Total Checkouts | Full call number | Date last seen | Price effective from | Koha item type | Public note |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | Main Library | Main Library | - Special Collections | 24/09/2010 | Vol. 35, no.2 (pages 165-180) | HD31 AUS | 19/11/2024 | 19/11/2024 | Journal Article | For in house use only |