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Forecasts of US short-term interest rates : a flexible forecast combination approach

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Market timing with aggregate and idiosyncratic stock volatilities

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Does stock market volatility forecast returns : the international evidence

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Contemporaneous threshold autoregressive models : Estimation, forecasting and rational expectations applications

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The information content of regional employment data for forecasting aggregate conditions

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A steady-state approach to trend/cycle decomposition

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Predictable dynamics in the S&P 500 index options implied volatility surface

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"One key stylized fact in the empirical option pricing literature is the existence of an implied volatility surface (IVS). The usual approach consists of fitting a linear model linking the implied volatility to the time to maturity and the moneyness, for each cross section of options data....

Persistent link: https://www.econbiz.de/10002977383