in volatility. The economic rationale for the effect is still controversial. The competing explanations have different … implications for the origin of the relationship: Are volatility changes induced by index movements, or inversely, does volatility … implied volatility and index return in Germany based on Granger causality tests and impulse-response functions. Our dataset …

dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the …

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …

By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade …

three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …