Open Access
Issue |
E3S Web Conf.
Volume 235, 2021
2020 International Conference on New Energy Technology and Industrial Development (NETID 2020)
|
|
---|---|---|
Article Number | 02043 | |
Number of page(s) | 5 | |
Section | Industrial Technology Development and Industrial Structure Adjustment and Upgrading | |
DOI | https://doi.org/10.1051/e3sconf/202123502043 | |
Published online | 03 February 2021 |
- French K R, Schwert G W, Stambaugh R F. Expected Stock Returns and Volatility[J]. Journal of Financial Economics, 1987, Vol.19, No. 1, pp. 3–29. [Google Scholar]
- Hui Xiaofeng, Liu Hongsheng, Hu Wei, He Danqing. Prediction of RMB exchange rate based on time series GARCH model [J]. Finance Research, 2003(05): 99105. [Google Scholar]
- Efimova O, Serletis A. Energy Markets Volatility Modelling using GARCH[J]. Energy Economics, 2014, 264-273. [Google Scholar]
- Andersen T G, Bollerslev T. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts[J]. International Economic Review, 2001, 39(4):885–905. [Google Scholar]
- Black F, Scholes M S. The Pricing of Options and Corporate Liabilities[J]. Journal of Political Economy, 1973, 81(3), 637-654. [CrossRef] [Google Scholar]
- Christoffersen P F, Jacobs K. The Importance of the Loss Function in Option Pricing[J]. Journal of Financial Economics, 2004, 72, 291–318. [Google Scholar]
- Godbey J M, Mahar J W. Forecasting Power of Implied Volatility: Evidence from Individual Equities[J]. B Quest, 2007, University of West Georgia. [Google Scholar]
- Moriggia V, Muzzioli S, Torricelli C. Call and Put Implied Volatilities and the Derivation of Option Implied Trees[J]. Front. Finan. Econ, 2007, 4, 35–64. [Google Scholar]
- Newey, West. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix [J]. Econometrica, 1987, 55(3):703-708. [Google Scholar]
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.