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Dynamic interaction between historical and implied volatility in the Indian option market

Viswanathan, T.; Sriram, R.; Mukherjee, Prathana - In: International journal of public sector performance … 8 (2021) 1/2, pp. 128-144

Persistent link: https://www.econbiz.de/10012696739

New evidence on the information content of implied volatility of S&P 500 : model-free versus model-based

Zhang, Weiwei; Sun, Tiezhu; Ma, Yechi; Wang, Zilong - In: Romanian journal of economic forecasting 24 (2021) 1, pp. 109-121

Persistent link: https://www.econbiz.de/10012587118

Impact of macroeconomic announcements on implied volatility slope of SPX options and VIX

Onan, Mustafa; Altay-Salih, Aslihan; Yasar, Burze - In: Finance research letters 11 (2014) 4, pp. 454-462

Persistent link: https://www.econbiz.de/10011300430

Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index

Stahl, Philip - In: Review of derivatives research 25 (2022) 3, pp. 315-339

Persistent link: https://www.econbiz.de/10013457627

Price discovery in the volatility index option market : a univariate GARCH approach

Venter, Pierre J; Maré, E. - In: Finance research letters 44 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014494881

The Skew Pattern of Implied Volatility in the DAX Index Options Market

Muzzioli, Silvia - 2012

The aim of this paper is twofold: to investigate how the information content of implied volatility varies according to … moneyness and option type and to compare option-based forecasts with historical volatility. The different information content of … implied volatility is examined for the most liquid at-the-money and out-of-the-money options: put (call) options for strikes …

Persistent link: https://www.econbiz.de/10013110064