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Predictability of Implied Volatility : Evidence from the Over-the-counter Currency Option Markets
Wong, Alfred H.S. - 2011
This paper provides an empirical study on the predictability of implied volatility using dataset collected from the … implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the … provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility …
Persistent link: https://www.econbiz.de/10013121151
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The law of one price in equity volatility markets
Van Tassel, Peter - 2020
This paper documents law of one price violations in equity volatility markets. While tightly linked by no …
Persistent link: https://www.econbiz.de/10012391498
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The Market Impact of Predictable Flows : Evidence from Leveraged VIX Products
Brøgger, Søren Bundgaard - 2020
evidence from the market for leveraged volatility (VIX) products. I find that the daily rebalancing imposes a substantial …
Persistent link: https://www.econbiz.de/10012846421
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Volatility, valuation ratios, and bubbles : an empirical measure of market sentiment
Gao, Can; Martin, Ian - 2021
closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …
Persistent link: https://www.econbiz.de/10012489383
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An empirical comparison of linear and nonlinear volatility models for Nordic stock returns
Kulp-Tåg, Sofie (contributor) - 2007
Persistent link: https://www.econbiz.de/10003444393
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Modeling and forecasting the volatility of energy forward returns : evidence from the Nordic power exchange
Lunde, Asger; Olesen, Kasper V. - 2013
Persistent link: https://www.econbiz.de/10009751838
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Forecasting volatility stock return : evidence from the Nordic stock exchanges
Dritsakis, Nikolaos; Savvas, Georgios - In: International journal of economics and finance 9 (2017) 2, pp. 15-31
Persistent link: https://www.econbiz.de/10011617883
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Modelling and forecasting the volatility of the Nordic power market : an application of the GARCH-jump process
Dutta, Anupam - In: Revisiting Electricity Market Reforms : Lessons for …, (pp. 143-158). 2022
Persistent link: https://www.econbiz.de/10013447658
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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...
Persistent link: https://www.econbiz.de/10010226098
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Option-implied term structures
Vogt, Erik - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...
Persistent link: https://www.econbiz.de/10010459730