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The impact of jump dynamics on the predictive power of option-implied densities

Wang, Yaw-huei - In: The journal of derivatives : the official publication … 16 (2008/09) 3, pp. 9-22

Persistent link: https://www.econbiz.de/10003852617

The information content of the S&P 500 index and VIX options on the dynamics of the S&P 500 index

Chung, San-lin; Tsai, Wei-che; Wang, Yaw-huei; Weng, … - In: The journal of futures markets 31 (2011) 12, pp. 1170-1201

Persistent link: https://www.econbiz.de/10009355722

The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index

San-Lin, Chung - 2013

Given that both S&P 500 index and VIX options essentially contain information on the future dynamics of the S&P 500 index, in this study, we set out to empirically investigate the informational roles played by these two option markets with regard to the prediction of returns, volatility and...

Persistent link: https://www.econbiz.de/10013094125

Empirical pricing kernels obtained from the UK index options market

Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993

Persistent link: https://www.econbiz.de/10003886597

A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices

Shackleton, Mark B.; Taylor, Stephen; Yu, Peng - In: Journal of banking & finance 34 (2010) 11, pp. 2678-2693

Persistent link: https://www.econbiz.de/10008858849

The realized volatility of FTSE-100 futures prices

Areal, Nelson M. P. C.; Taylor, Stephen - In: The journal of futures markets 22 (2002) 7, pp. 627-648

Persistent link: https://www.econbiz.de/10001678555