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On the relationship of implied, realized and historical volatility : evidence from NSE equity index options
Padhi, Puja; Shaikh, Imlak - In: Journal of business economics and management 15 (2014) 5, pp. 915-934
Persistent link: https://www.econbiz.de/10010484378
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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
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Forecasting the density of oil futures returns using model-free implied volatility and high-frequency data
Ielpo, Florian; Sévi, Benoît - 2014
Persistent link: https://www.econbiz.de/10010432122
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The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
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Volatility estimation for stock index options : a GARCH approach
Chu, Shin-herng - In: The quarterly review of economics and finance : journal … 36 (1996) 4, pp. 431-450
Persistent link: https://www.econbiz.de/10001214235
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Overnight volatility, realized volatility, and option pricing
Wang, Tianyi; Cheng, Sicong; Yin, Fangsheng; Yu, Mei - In: The journal of futures markets 42 (2022) 7, pp. 1264-1283
Persistent link: https://www.econbiz.de/10013287956
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Volatility concepts and risk management tools
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2015
Persistent link: https://www.econbiz.de/10011547074
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Prognosemodelle und Handelsansätze für Implizite Volatilitäten
Sachtler, Michael - 2004
Persistent link: https://www.econbiz.de/10002392690
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Nearest Neighbor Predictions of Realized Volatility for S&P 100 Options Trading
Andrada-Felix, Julian - 2019
The increasing availability of intraday financial data has led to improvements in daily volatility forecasting through … long-memory models of realized volatility. This paper demonstrates the merit of the non-parametric Nearest Neighbor (NN …
Persistent link: https://www.econbiz.de/10012905360
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Application of ARCH and GARCH Models to Test the Implied Volatility of a 3 – Month Nordea Bank Call Option Contract
Guirguis, Michel - 2019
implied volatility of a 3 – month Nordea bank call option contract returns, for changing conditional variances to spot any …
Persistent link: https://www.econbiz.de/10012890763