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Stock returns after major price shocks : the impact of information

Savor, Pavel - In: Journal of financial economics 106 (2012) 3, pp. 635-659

Persistent link: https://www.econbiz.de/10009710154

Accuracy tests of American put valuation models for pharmaceutical equity options

Kim, Yong H.; Heo, Sangwoo; Cashel-Cordo, Peter; Jang, … - In: Journal of business & economics research 6 (2008) 2, pp. 41-52

Persistent link: https://www.econbiz.de/10003764115

The forecasting performance of German stock option densities

Craig, Ben R.; Glatzer, Ernst; Keller, Joachim; … - 2003

In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...

Persistent link: https://www.econbiz.de/10011432259

The forecasting performance of German stock option densities

Craig, Ben R. (contributor) - 2003

Persistent link: https://www.econbiz.de/10001830894

Pricing individual stock options using both stock and market index information

Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - In: Journal of banking & finance 111 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012221075

The forecasting performance of stock options prices in a thin market

Gemmill, Gordon; Dickins, Paul - 1984

Persistent link: https://www.econbiz.de/10003557534

Average idiosyncratic volatility in G7 countries

Guo, Hui; Savickas, Robert - In: The review of financial studies 21 (2008) 3, pp. 1259-1296

Persistent link: https://www.econbiz.de/10003742243

Fear Factor : Does the VIXC Provide the Most Accurate Forecast of Canadian Stock Market Volatility?

Biktimirov, Ph.D., CFA, Ernest N. - 2013

This study provides the first examination of the Canadian implied volatility indexes for forecasting future volatility …. Introduced by Montreal exchange in 2010, the model-free implied volatility index for the Canadian stock market, the VIXC …, outperforms the previously used model-based index, the MVX, for forecasting future volatility. The VIXC also provides more …

Persistent link: https://www.econbiz.de/10013073824

Forecasting increases in the VIX : a timevarying long volatility hedge for equities

Clements, Adam; Fuller, Joanne - 2012

Persistent link: https://www.econbiz.de/10009665912

The forecast performance of competing implied volatility measures: the case of individual stocks

Tsiaras, Leonidas - 2009

Persistent link: https://www.econbiz.de/10003820623

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