Forecasting volatility in the presence of Leverage Effect
Rhodes, Rémi; Vargas, Vincent; Domenge, Jean-Christophe (2010), Forecasting volatility in the presence of Leverage Effect. https://basepub.dauphine.fr/handle/123456789/4655
Type
Document de travail / Working paperExternal document link
http://hal.archives-ouvertes.fr/hal-00502273/fr/Date
2010Publisher
Université Paris-Dauphine
Published in
Paris
Pages
12
Metadata
Show full item recordAbstract (EN)
We define a simple and tractable method for adding the Leverage effect in general volatility predictions. As an application, we compare volatility predictions with and without Leverage on the SP500 Index during the period 2002-2010.Subjects / Keywords
leverage effect; volatilityRelated items
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