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Intermediate volatility forecasts using implied forward volatility : the performance of selected agricultural commodity options

Egelkraut, Thorsten Michael; García, Philip - In: Journal of agricultural and resource economics : JARE ; … 31 (2006) 3, pp. 508-528

Persistent link: https://www.econbiz.de/10003416262

Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model

Tai, Tzu; Lee, Cheng F. - In: Portfolio construction, measurement, and efficiency : …, (pp. 355-387). 2017

Persistent link: https://www.econbiz.de/10011603288

Treasury yield implied volatility and real activity

Cremers, Martijn; Fleckenstein, Matthias; Gandhi, Priyank - In: Journal of financial economics 140 (2021) 2, pp. 412-435

Persistent link: https://www.econbiz.de/10012650450

Uncertainty about interest rates and the real economy

Qadan, Mahmoud; Shuval, Kerem; David, Or - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014485443

Uncertainty about interest rates and crude oil prices

Qadan, Mahmoud; Cohen, Gil - In: Financial innovation : FIN 10 (2024), pp. 1-14

fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a … volatility of crude oil prices over the near term. Using monthly data from 2003 to 2020, we document that higher implied … volatility in the 10-year U.S. Treasury derivatives market predicts declining oil prices and higher forward-looking volatility in …

Persistent link: https://www.econbiz.de/10014530189