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Information content in sneer asymmetry : an application to out-of-sample implied volatility forecasting

Choi, Youngsoo; Jordan, Steven J.; Lee, Wonchang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 34-51

Persistent link: https://www.econbiz.de/10011404184

Effect of uncertainty on U.S. stock returns and volatility : evidence from over eighty years of high-frequency data

Gupta, Rangan; Marfatia, Hardik A.; Olson, Eric - In: Applied economics letters 27 (2020) 16, pp. 1305-1311

Persistent link: https://www.econbiz.de/10012267127

Forecasting key US macroeconomic variables with a factor‐augmented Qual VAR

Gupta, Rangan; Olson, Eric; Wohar, Mark E. - In: Journal of forecasting 36 (2017) 6, pp. 640-650

Persistent link: https://www.econbiz.de/10011861401

Sentiment's effect on the variance of stock returns

Olson, Eric; Nowak, Adam - In: Applied economics letters 27 (2020) 18, pp. 1469-1473

Persistent link: https://www.econbiz.de/10012315615

Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Persistent link: https://www.econbiz.de/10013097543