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Evaluating Volatility Forecasts in Option Pricing in the Context of a Simulated Options Market. (2005). Xekalaki, Evdokia ; Degiannakis, Stavros.
In: MPRA Paper.
RePEc:pra:mprapa:80468.

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Cited: 19

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Cites: 51

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Citations received by this document

  1. Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts. (2018). Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:96272.

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  2. Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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  3. Option trading for optimizing volatility forecasting. (2017). Sogiakas, Vasilios.
    In: Journal of Statistical and Econometric Methods.
    RePEc:spt:stecon:v:6:y:2017:i:3:f:6_3_3.

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  4. Forecasting oil price realized volatility using information channels from other asset classes. (2017). Filis, George ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:96276.

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  5. The one-trading-day-ahead forecast errors of intra-day realized volatility. (2017). Degiannakis, Stavros.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:42:y:2017:i:c:p:1298-1314.

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  6. Forecasting oil price realized volatility using information channels from other asset classes. (2017). Filis, George ; Degiannakis, Stavros.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:76:y:2017:i:c:p:28-49.

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  7. The one-trading-day-ahead forecast errors of intra-day realized volatility. (2016). Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80163.

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  8. Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?. (2016). Fuertes, Ana-Maria ; Andrada-Felix, Julian ; Fernandez-Rodriguez, Fernando.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:3:p:695-715.

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  9. Evaluation of Realized Volatility Predictions from Models with Leptokurtically and Asymmetrically Distributed Forecast Errors. (2013). Degiannakis, Stavros ; Livada, Alexandra .
    In: MPRA Paper.
    RePEc:pra:mprapa:67968.

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  10. Implied volatility in oil markets. (2009). Permana, Ferry J. ; Borovkova, Svetlana .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:2022-2039.

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  11. Volatility forecasting: Intra-day versus inter-day models. (2008). Degiannakis, Stavros ; Angelidis, Timotheos.
    In: MPRA Paper.
    RePEc:pra:mprapa:96322.

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  12. SPEC Model Selection Algorithm for ARCH Models: an Options Pricing Evaluation Framework. (2008). Degiannakis, Stavros ; Xekalaki, Evdokia.
    In: MPRA Paper.
    RePEc:pra:mprapa:96321.

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  13. Volatility forecasting: intra-day vs. inter-day models. (2008). Degiannakis, Stavros ; Angelidis, Timotheos.
    In: MPRA Paper.
    RePEc:pra:mprapa:80434.

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  14. Volatility forecasting: Intra-day versus inter-day models. (2008). Degiannakis, Stavros ; Angelidis, Timotheos.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:18:y:2008:i:5:p:449-465.

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  15. Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models. (2007). Xekalaki, Evdokia ; Degiannakis, Stavros.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:2:p:149-171.

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  16. Simulated Evidence on the Distribution of the Standardized One-Step-Ahead Prediction Errors in ARCH Processes. (2007). Degiannakis, Stavros ; Xekalaki, Evdokia.
    In: MPRA Paper.
    RePEc:pra:mprapa:96326.

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  17. Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models. (2007). Degiannakis, Stavros ; Xekalaki, Evdokia.
    In: MPRA Paper.
    RePEc:pra:mprapa:96324.

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  18. Bayesian testing for non-linearity in volatility modeling. (2006). Dorffner, Georg ; Miazhynskaia, Tatiana ; Fruhwirth-Schnatter, Sylvia .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2006:i:3:p:2029-2042.

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  19. An analysis of the flexibility of Asymmetric Power GARCH models. (2006). Ane, Thierry .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2006:i:2:p:1293-1311.

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  47. Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think. (1999). Diebold, Francis ; Brandt, Michael ; Alizadeh, Sassan.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-28.

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  48. (Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-061.

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  49. Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-060.

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  50. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

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