Bhuiyan, Tanvir; Hoque, Ariful; Le, Thi - In: Journal of open innovation : technology, market, and … 9 (2023) 4, pp. 1-12
This study analyses the presence of implied volatility smirk (IVS) and its predictability of the US stock market crash during the Global Financial Crisis (GFC) through the in-sample and out-of-sample tests. The in-sample investigation was conducted for 18 cases (cases 1-18) to confirm the...
