Sheu, Her-Jiun; Wei, Yu-Chen - In: Emerging Markets Finance and Trade 47 (2011) 2, pp. 31-47
Using options price data on the Taiwanese stock market, we propose an options trading strategy based on the forecasting of volatility direction. The forecasting models are constructed with the incorporation of absolute returns, heterogeneous autoregressive-realized volatility (HAR-RV), and proxy...