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The forecasting ability of correlations implied in foreign exchange options
Campa, José Manuel; Chang, P. H. Kevin - 1997
Persistent link: https://www.econbiz.de/10000623860
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The forecast quality of CBOE implied volatility indexes
Corrado, Charles Joseph; Miller, Thomas W. - 2004
Persistent link: https://www.econbiz.de/10002120589
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Does the option market produce superior forecasts of noise-corrected volatility measures?
Martin, Gael M.; Reidy, Andrew; Wright, Jill - In: Journal of applied econometrics 24 (2009) 1, pp. 77-104
Persistent link: https://www.econbiz.de/10003807531
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Option trading strategies based on semi-parametric implied volatility surface prediction
Audrino, Francesco; Colangelo, Dominik - 2009
Persistent link: https://www.econbiz.de/10003885898
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A simple expected volatility (SEV) index : application to SET50 index options
Wiphatthanananthakul, Chatayan; McAleer, Michael - 2008
Persistent link: https://www.econbiz.de/10003893426
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Investment portfolio strategies based on options market activity
Bhuyan, Rafiqul; Freund, Steven; Yan, Yuxing - In: Journal of business & economics research 7 (2009) 9, pp. 77-85
Persistent link: https://www.econbiz.de/10003894615
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Joint modeling of call and put implied volatility
Ahoniemi, Katja; Lanne, Markku - In: International journal of forecasting 25 (2009) 2, pp. 239-258
Persistent link: https://www.econbiz.de/10003870046
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Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options
Hwang, Soosung; Satchell, Stephen - In: Forecasting volatility in the financial markets, (pp. 249-277). 2007
Persistent link: https://www.econbiz.de/10003872982
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GARCH predictions and the predictions of option prices
Knight, John L.; Satchell, Stephen - In: Forecasting volatility in the financial markets, (pp. 279-294). 2007
Persistent link: https://www.econbiz.de/10003872994
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Forecasting implied volatility surfaces
Audrino, Francesco; Colangelo, Dominik - 2008
Persistent link: https://www.econbiz.de/10003903349