The information content of option-implied information for volatility forecasting with investor sentiment
Year of publication: |
2015
|
---|---|
Authors: | Seo, Sung Won ; Kim, Jun Sik |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 50.2015, C, p. 106-120
|
Publisher: |
Elsevier |
Subject: | Investor sentiment | Risk-neutral skewness | Implied volatility | Volatility forecasting |
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