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Volatility forecasting using financial statement information

Sridharan, Suhas A. - In: The accounting review : a publication of the American … 90 (2015) 5, pp. 2079-2106

Persistent link: https://www.econbiz.de/10011375882

Can derivative information predict stock price jumps?

Kwark, Noe-Keol; Kang, Hyoung Goo; Jun, Sang-Gyung - In: The journal of applied business research 31 (2015) 3, pp. 845-860

Persistent link: https://www.econbiz.de/10011304812

The information content of option-based forecasts of volatility : evidence from the Italian stock market

Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546

Persistent link: https://www.econbiz.de/10010198265

Hilbert-Huang Based Volatility Forecasts for High Frequency Data and Simulated Option Markets

Drummond, Carson - 2014

In this paper we introduce a new way to estimate the spot volatility of high frequency foreign exchange data using the … Hilbert-Huang Transform. We also propose and test a consistent spot volatility estimate in the presence of microstructure … trading market in which competing volatility forecasts buy and sell straddle options to one another using real high frequency …

Persistent link: https://www.econbiz.de/10013048942

Price discovery and volatility transmission in the spot and futures market of pepper : an empirical analysis

Nadig, Asha; Viswanathan, T. - In: International journal of intelligent enterprise 9 (2022) 1, pp. 78-99

Persistent link: https://www.econbiz.de/10012799917

Can happiness predict future volatility in stock markets?

Naeem, Muhammad Abubakr; Farid, Saqib; Faruk, Balli; … - In: Research in international business and finance 54 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012581437

The information content of financial derivatives : empirical evidence

Wipplinger, Evert - 2013

Persistent link: https://www.econbiz.de/10010190940

Effectiveness of volatility models in option pricing : evidence from recent financial upheavals

Singh, Vipul Kumar - In: Journal of advances in management research : JAMR 10 (2013) 3, pp. 352-375

Persistent link: https://www.econbiz.de/10010206639

Estimating stochastic volatility : the rough side to equityreturns

Haynes, Jonathan; Schmitt, Daniel; Grimm, Lukas - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 449-469

Persistent link: https://www.econbiz.de/10012127236

On the right jump tail inferred from the VIX market

Li, Zhenxiong; Yao, Xingzhi; Izzeldin, Marwan - In: International review of financial analysis 86 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014248409

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