Yu, Wayne W.; Lui, Evans C.K.; Wang, Jacqueline W. - In: Journal of Banking & Finance 34 (2010) 1, pp. 1-11
This paper investigates the efficiency of stock index options traded over-the-counter (OTC) and on the exchanges in Hong Kong and Japan. Our findings suggest that implied volatility is superior to either historical volatility or a GARCH-type volatility forecast in predicting future volatility in...