Essays about: "möse"

Found 1 essay containing the word möse.

  1. 1. Forecasting Volatility - An Empirical Investigation of Implied Volatility and Its Information Content

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Linus Mattsson; Johan Möse; [2009]
    Keywords : implied volatility; Predictive Power; Volatility forecast; model based forecast; incremental information; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : The purpose of this thesis is to evaluate volatility forecasts by testing the predictive power of implied volatility vis-à-vis model based forecasts. Furthermore we test if implied volatility contains any additional information beyond that captured by the model based forecasts. A number of time series models are fitted to historical data. READ MORE