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Short-term options : clienteles, market segmentation, and event trading

Chatrath, Arjun; Christie-David, Rohan; Miao, Hong; … - In: Journal of banking & finance 61 (2015), pp. 237-250

Persistent link: https://www.econbiz.de/10011545291

Default prediction models : the role of forward-looking measures of returns and volatility

Miao, Hong; Ramchander, Sanjay; Ryan, Patricia; Wang, … - In: Journal of empirical finance 46 (2018), pp. 146-162

Persistent link: https://www.econbiz.de/10012103422

The forecasting efficacy of risk-neutral mopments for crude oil volatility

Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay; Wang, … - In: Journal of forecasting 34 (2015) 3, pp. 177-190

Persistent link: https://www.econbiz.de/10011305272

The information content of ETF options

Lockwood, Jimmy; Lockwood, Larry Joseph; Miao, Hong; … - In: Global finance journal 53 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013412674

Default Prediction Models : The Role of Forward-Looking Measures of Returns and Volatility

Miao, Hong - 2018

This paper proposes a variant application of the Merton distance-to-default model by employing implied volatility and implied cost of capital to predict defaults. The proposed model's results are compared with predictions obtained from three popular models in different setups. We find that our...

Persistent link: https://www.econbiz.de/10012937863

Default Prediction Models : The Role of Forward-Looking Measures of Returns and Volatility

Miao, Hong - 2018

This paper proposes a variant application of the Merton distance-to-default model by employing implied volatility and implied a cost of capital to forecast defaults. The proposed model's results are compared with predictions obtained from three popular models in different setups. We find that...

Persistent link: https://www.econbiz.de/10012933897

The Forecasting Efficacy of Risk-Neutral Moments for Crude Oil Volatility

Chatrath, Arjun - 2018

This paper examines the information content of implied volatility for crude oil options as it relates to future …. Furthermore, incorporating risk-neutral skewness, and especially kurtosis, improves the forecasting of realized volatility …

Persistent link: https://www.econbiz.de/10012937326