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

B-Tier

Journal: International Journal of Forecasting

Year: 2004

Volume: 20

Issue: 4

Pages: 629-645

Authors (3)

Gonzalez-Rivera, Gloria (University of California-River...) Lee, Tae-Hwy (University of California-River...) Mishra, Santosh (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count