Chen, Cheny; Liu, Ming-Hua; Nguyen, Hoa - In: American Journal of Finance and Accounting 1 (2008) 1, pp. 1-19
This paper examines the informational content and predictive power of implied volatility over different forecasting horizons in a sample of European covered warrants traded in the Hong Kong and Singapore markets. The empirical results show that time-series-based volatility forecasts outperform...