The forecasting performance of German stock option densities:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Frankfurt am Main
Dt. Bundesbank
2003
|
| Series: | Discussion paper / Deutsche Bundesbank : Series 1: Studies of the Economic Research Centre
2003,17 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 36 S. graph. Darst. |
| ISBN: | 3935821743 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Table of Contents
1 Introduction 1
2 Specification and sample 3
2.1 Test procedure 6
3 Empirical results 10
3.1 Forecasting performance 14
3.2 Trend adjusted tests 24
4 Concluding remarks 25
5 Bibliography 28
6 Appendix 30
List of Tables and Figures
Table 1: Descriptive statistics of estimated moments 13
Table 2: Von Mises statistic: p valu.es 15
Table 3: Von Mises statistic: p vahies (trend adjusted values) 25
Figure 1: The integral transformation 8
Figure 2: Median, 5%, 95% RND confidence bands for mixture of lognormals 11
Figure 3: Yearly RNDs 12
Figure 4: Yearly RNDs (percentage changes) 12
Figure 5: RNDs estimates for 10% tail statistics, VDAX (implied volatility) and
DAX 14
Figure 6: p values for RND (lognormal) 16
Figure 7: p values for RND (mixtures of lognormals) 17
Figure 8: Integral transformation (42 days): mixture of lognormal densities De¬
cember 1995 to March 2000) 18
Figure 9: Integral transformation (42 days): mixture of lognormal densities April
2000 to April 2002) 19
Figure 10: Integral transformation (42 days): mixture of lognormal densities De¬
cember 1995 to April 2002) 19
Figure 11: Integral transformation (49 days): mixture of lognormal densities De¬
cember 1995 to March 2000) 20
Figure 12: Integral transformation (49 days): mixture of lognormal densities April
2000 to April 2002) 20
Figure 13: Integral transformation (49 days): mixture of lognormal densities De¬
cember 1995 to April 2002) 21
Figure 14: Integral transformation (56 days): mixture of lognormal densities De¬
cember 1995 to March 2000) 21
Figure 15: Integral transformation (56 days): mixture of lognormal densities April
2000 to April 2002) 22
Figure 16: Integral transformation (56 days): mixture of lognormal densities De¬
cember 1995 to April 2002) 22
|
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| building | Verbundindex |
| bvnumber | BV017713838 |
| classification_rvk | QB 910 QK 660 |
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| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV017713838 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:21:06Z |
| institution | BVB |
| isbn | 3935821743 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010649392 |
| oclc_num | 76602476 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-20 DE-355 DE-BY-UBR DE-N2 DE-945 DE-12 DE-703 DE-521 DE-83 DE-11 DE-188 |
| owner_facet | DE-473 DE-BY-UBG DE-20 DE-355 DE-BY-UBR DE-N2 DE-945 DE-12 DE-703 DE-521 DE-83 DE-11 DE-188 |
| physical | 36 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank : Series 1: Studies of the Economic Research Centre |
| spelling | The forecasting performance of German stock option densities Ben R. Craig ... Frankfurt am Main Dt. Bundesbank 2003 36 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank : Series 1: Studies of the Economic Research Centre 2003,17 Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Optionspreis (DE-588)4115453-8 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Deutscher Aktienindex (DE-588)4266832-3 gnd rswk-swf Indexoption (DE-588)4309314-0 gnd rswk-swf Deutscher Aktienindex (DE-588)4266832-3 s Indexoption (DE-588)4309314-0 s Optionspreis (DE-588)4115453-8 s Volatilität (DE-588)4268390-7 s Stochastisches Modell (DE-588)4057633-4 s DE-604 Craig, Ben R. Sonstige (DE-588)171014294 oth Deutsche Bundesbank Discussion paper Series 1: Studies of the Economic Research Centre ; 2003,17 (DE-604)BV017594637 2003,17 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010649392&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | The forecasting performance of German stock option densities Stochastisches Modell (DE-588)4057633-4 gnd Optionspreis (DE-588)4115453-8 gnd Volatilität (DE-588)4268390-7 gnd Deutscher Aktienindex (DE-588)4266832-3 gnd Indexoption (DE-588)4309314-0 gnd |
| subject_GND | (DE-588)4057633-4 (DE-588)4115453-8 (DE-588)4268390-7 (DE-588)4266832-3 (DE-588)4309314-0 |
| title | The forecasting performance of German stock option densities |
| title_auth | The forecasting performance of German stock option densities |
| title_exact_search | The forecasting performance of German stock option densities |
| title_full | The forecasting performance of German stock option densities Ben R. Craig ... |
| title_fullStr | The forecasting performance of German stock option densities Ben R. Craig ... |
| title_full_unstemmed | The forecasting performance of German stock option densities Ben R. Craig ... |
| title_short | The forecasting performance of German stock option densities |
| title_sort | the forecasting performance of german stock option densities |
| topic | Stochastisches Modell (DE-588)4057633-4 gnd Optionspreis (DE-588)4115453-8 gnd Volatilität (DE-588)4268390-7 gnd Deutscher Aktienindex (DE-588)4266832-3 gnd Indexoption (DE-588)4309314-0 gnd |
| topic_facet | Stochastisches Modell Optionspreis Volatilität Deutscher Aktienindex Indexoption |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010649392&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV017594637 |
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