Asset volatility with prospect theory investors

被引：1

作者：

Bekierman, Jeremias ^{[1
]}

机构：

[1] Univ Cologne, Inst Econometr & Stat, Albertus Magnus Pl, D-50923 Cologne, Germany

来源：

QUANTITATIVE FINANCE | 2019年 / 19卷 / 04期

关键词：

STOCK RETURNS; LEVERAGE; MODEL;

D O I：

10.1080/14697688.2018.1520393

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A realized volatility measure reflecting prospect theory investors' sentiments is empirically seen to improve volatility forecast accuracy. © 2018, © 2018 Informa UK Limited, trading as Taylor & Francis Group.

引用

页码：533 / 543

页数：11

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