Ferreira, Miguel A. (contributor); … - 2004 - [Elektronische Ressource], rev
evidence in Day and Lewis (1992), Amin and Ng (1997),
and others suggests that implied volatility can forecast future … volatility. However, there is also
some consensus that implied volatility is an upward biased forecast of future volatility and … models of
correlation are able to improve forecast accuracy.
1
parison of the alternative models, due to the possibility of …