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Can the evolution of implied volatility be forecasted? : evidence from European and US implied volatility indices

Konstantinidi, Eirini; Skiadopoulos, George; … - In: Journal of banking & finance 32 (2008) 11, pp. 2401-2411

Persistent link: https://www.econbiz.de/10003787217

A new predictor of U.S. real economic activity : the S&P 500 option implied risk aversion

Faccini, Renato; Konstantinidi, Eirini; Skiadopoulos, George - In: Management science : journal of the Institute for … 65 (2019) 10, pp. 4927-4949

Persistent link: https://www.econbiz.de/10012118146

A new predictor of U.S. real economic activity : the S&P 500 option implied risk aversion

Faccini, Renato; Konstantinidi, Eirini; Skiadopoulos, George - 2018

We propose a new predictor of U.S. real economic activity (REA), namely the representative investor's implied relative risk aversion (IRRA) extracted from S&P 500 option prices. IRRA is forward-looking and hence, it is expected to be related to future economic conditions. We document that U.S....

Persistent link: https://www.econbiz.de/10011787902

A New Predictor of U.S. Real Economic Activity : The S&P 500 Option Implied Risk Aversion

Faccini, Renato - 2018

Persistent link: https://www.econbiz.de/10012933999

Can the dynamics of the term structure of petroleum futures be forecasted? : evidence from major markets

Chantziara, Thalia; Skiadopoulos, George - In: Energy economics 30 (2008) 3, pp. 962-985

Persistent link: https://www.econbiz.de/10003744778

Implied volatility trees and pricing performance: Evidence from the S&P 100 options

Linaras, Charilaos E.; Skiadopoulos, George - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1085-1106

Persistent link: https://www.econbiz.de/10003280037

An empirical comparison of continuous-time models of implied volatility indices

Dotsis, George; Psychoyios, Dimitris; Skiadopoulos, George - In: Journal of banking & finance 31 (2007) 12, pp. 3584-3603

Persistent link: https://www.econbiz.de/10003604337

Predictable dynamics in higher-order risk-neutral moments : evidence from the S&P 500 options

Neumann, Michael; Skiadopoulos, George - In: Journal of financial and quantitative analysis : JFQA 48 (2013) 3, pp. 947-977

Persistent link: https://www.econbiz.de/10010201777

A new approach to modeling the dynamics of implied distributions : theory and evidence from the S&P 500 options

Panigirtzoglou, Nikolaos; Skiadopoulos, George - In: Journal of banking & finance 28 (2004) 7, pp. 1499-1520

Persistent link: https://www.econbiz.de/10002100451

The dynamics of the S&P 500 implied volatility surface

Skiadopoulos, George; Hodges, Stewart D.; Clewlow, Les - In: Review of derivatives research 3 (1999) 3, pp. 263-282

Persistent link: https://www.econbiz.de/10001493260