1 resultado para PROBABILISTIC FORECASTS
em Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco
Filtro por publicador
- Aberdeen University (1)
- Abertay Research Collections - Abertay University’s repository (1)
- Aberystwyth University Repository - Reino Unido (2)
- AMS Tesi di Dottorato - Alm@DL - Università di Bologna (4)
- AMS Tesi di Laurea - Alm@DL - Università di Bologna (5)
- Aquatic Commons (4)
- Archimer: Archive de l'Institut francais de recherche pour l'exploitation de la mer (1)
- Archive of European Integration (35)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (1)
- Aston University Research Archive (30)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (6)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP) (2)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (31)
- Boston University Digital Common (2)
- Brock University, Canada (1)
- Bucknell University Digital Commons - Pensilvania - USA (1)
- Bulgarian Digital Mathematics Library at IMI-BAS (7)
- CaltechTHESIS (6)
- Cambridge University Engineering Department Publications Database (52)
- CentAUR: Central Archive University of Reading - UK (131)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (11)
- Cochin University of Science & Technology (CUSAT), India (4)
- Comissão Econômica para a América Latina e o Caribe (CEPAL) (4)
- CORA - Cork Open Research Archive - University College Cork - Ireland (4)
- Cornell: DigitalCommons@ILR (1)
- Corvinus Research Archive - The institutional repository for the Corvinus University of Budapest (2)
- CUNY Academic Works (3)
- Deakin Research Online - Australia (51)
- Department of Computer Science E-Repository - King's College London, Strand, London (7)
- Digital Commons - Michigan Tech (8)
- Digital Commons at Florida International University (3)
- DRUM (Digital Repository at the University of Maryland) (1)
- Duke University (4)
- Earth Simulator Research Results Repository (1)
- eResearch Archive - Queensland Department of Agriculture; Fisheries and Forestry (19)
- Glasgow Theses Service (2)
- Greenwich Academic Literature Archive - UK (2)
- Helda - Digital Repository of University of Helsinki (24)
- Indian Institute of Science - Bangalore - Índia (49)
- Institutional Repository of Leibniz University Hannover (1)
- Instituto Politécnico de Viseu (1)
- Instituto Politécnico do Porto, Portugal (4)
- Massachusetts Institute of Technology (4)
- Memorial University Research Repository (1)
- National Center for Biotechnology Information - NCBI (1)
- Nottingham eTheses (2)
- Plymouth Marine Science Electronic Archive (PlyMSEA) (2)
- Publishing Network for Geoscientific & Environmental Data (2)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (49)
- Queensland University of Technology - ePrints Archive (253)
- Repositório Alice (Acesso Livre à Informação Científica da Embrapa / Repository Open Access to Scientific Information from Embrapa) (1)
- Repositório digital da Fundação Getúlio Vargas - FGV (2)
- Repositorio Institucional de la Universidad de Málaga (1)
- Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho" (12)
- Repositorio Institucional Universidad de Medellín (1)
- Research Open Access Repository of the University of East London. (1)
- RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal (1)
- SAPIENTIA - Universidade do Algarve - Portugal (1)
- School of Medicine, Washington University, United States (1)
- Scielo España (1)
- Universidad de Alicante (4)
- Universidad Politécnica de Madrid (29)
- Universidade Federal do Rio Grande do Norte (UFRN) (3)
- Universitat de Girona, Spain (3)
- Universitätsbibliothek Kassel, Universität Kassel, Germany (1)
- Université de Lausanne, Switzerland (2)
- Université de Montréal, Canada (2)
- University of Michigan (14)
- University of Queensland eSpace - Australia (26)
- University of Washington (2)
- WestminsterResearch - UK (1)
Resumo:
The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two-lognormals and three alternative risk-adjustments: the classic power and exponential utility functions and a habit-based specification that allows for a counter-cyclical variation of risk aversion. Our results show that at four-week horizon we can reject the hypothesis that between October 1996 and March 2000 the risk-neutral densities provide accurate predictions of the distributions of future realisations of the IBEX 35 index at a four-week horizon. When forecasting through risk-adjusted densities the performance of this period is statistically improved and we no longer reject that hypothesis. All risk-adjusted densities generate similar forecasting statistics. Then, at least for a horizon of four-weeks, the actual risk adjustment does not seem to be the issue. By contrast, at the one-week horizon risk-adjusted densities do not improve the forecasting ability of the risk-neutral counterparts.