| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3350 |
| 来源ID | Working Paper 3350 |
| Valuation of Variance Forecast with Simulated Option Markets | |
| Robert F. Engle; Che-Hsiung Hong; Alex Kane | |
| 发表日期 | 1990-05-01 |
| 出版年 | 1990 |
| 语种 | 英语 |
| 摘要 | An appropriate metric for the success of an algorithm to forecast the variance of the rate of return on a capital asset could be the incremental profit from substituting it for the next best alternative. We propose a framework to assess incremental profits for competing algorithms to forecast the variance of a prespecified asset. The test is based on the return history of the asset in question. A hypothetical insurance market is set up, where competing forecasting algorithms are used. One algorithm is used by each hypothetical agent in an "ex post ante" forecasting exercise, using the available history of the asset returns. The profit differentials across agents (in various groupings) reflect incremental values of the forecasting algorithms. |
| 主题 | Financial Economics |
| URL | https://www.nber.org/papers/w3350 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560639 |
| 推荐引用方式 GB/T 7714 | Robert F. Engle,Che-Hsiung Hong,Alex Kane. Valuation of Variance Forecast with Simulated Option Markets. 1990. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3350.pdf（215KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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