Blenman, Lloyd P.; Wang, Guan Jun - In: Review of Pacific Basin Financial Markets and Policies … 15 (2012) 01, pp. 1250001-1
Existing studies on the informational content of at-the-money implied volatility (ATMIV) and past realized volatility (PRV) and the relation between the two have mainly focused on a single short forecast horizon and conclude that ATMIV outperforms PRV. We examine the relation between implied and...
