Rastogi, Shailesh; Tripathi, Vikas; Kuknor, Sunaina - In: Pacific Accounting Review 34 (2021) 1, pp. 49-69
Purpose: The paper aims to explore the informational role of futures volume in the simultaneous relationship between option volume and spot volatility to forecast the volatility of the underlying asset. Design/methodology/approach: The generalized method of moments is used to estimate the...