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Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood

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  • Gonzalez-Rivera, Gloria
  • Lee, Tae-Hwy
  • Mishra, Santosh

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  • Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh, 2004. "Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood," International Journal of Forecasting, Elsevier, vol. 20(4), pages 629-645.
    • Handle: RePEc:eee:intfor:v:20:y:2004:i:4:p:629-645
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