Browsing FGV EPGE - Seminários de Pesquisa Econômica by Title "Hedging options in a garch environment: testing the term structure of stochastic volatility models"
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Hedging options in a garch environment: testing the term structure of stochastic volatility models
1994-12-12This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S&P500 index volatility. U sing measurements of the ...
