✦ LIBER ✦

Forecasting Stock Index Futures Price Volatility: Linear vs. Nonlinear Models

✍ Scribed by Mohammad Najand

Book ID: 110693321
Publisher: John Wiley and Sons
Year: 2002
Tongue: English
Weight: 242 KB
Volume: 37
Category: Article
ISSN: 0732-8516
DOI: 10.1111/1540-6288.00006

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is one of the first researchers to point out the changing nature of stock market volatility. Wiggins (1987) and Hull and White (1987) have developed option models that provide for a stochastic variance input.