Bentes, Sonia R.; Menezes, Rui - In: Journal of Asian Economics 28 (2013) C, pp. 58-66
This study deals with the out-of-sample predictability of realized volatility induced by implied volatility using FGLS. The original dataset was collected from Bloomberg and includes price and implied volatility indices from the US, Hong Kong, China, South Korea and India. Prices were then...