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Market Imperfections and the Information Content of Implied and Realized Volatility
Wong, Woon K.; Tu, Anthony - 2008
The information content of option implied volatility and realized volatility under market imperfections are studied in the context of GARCH modeling and volatility forecasts of Taiwan stock market (TAIEX) returns. Consistent with most studies, we find that the Taiwan implied volatility index...
Persistent link: https://www.econbiz.de/10014220367
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Insiders' hedging in a stochastic volatility model
Park, Sang-Hyeon; Lee, Kiseop - In: IMA journal of management mathematics 27 (2016) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011567200
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Trading volume and the short and long-run components of volatility
Liesenfeld, Roman - 1997
Persistent link: https://www.econbiz.de/10000641845
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Accounting for persistence and volatility of good-level real exchange rates : the role of sticky information
Crucini, Mario J.; Shintani, Motosugu; Shintani, Mototsugu - 2008
Persistent link: https://www.econbiz.de/10003763469
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Ambiguity, information quality, and asset pricing
Epstein, Larry G.; Schneider, Martin - In: The journal of finance : the journal of the American … 63 (2008) 1, pp. 197-228
Persistent link: https://www.econbiz.de/10003821586
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The informational quality of implied volatility and the volatility risk premium
Ferris, Stephen P.; Kim, Woojin; Park, Kwangwoo - In: Applied economics letters 17 (2010) 4/6, pp. 445-450
Persistent link: https://www.econbiz.de/10003979931
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Accounting for persistence and volatility of good-level real exchange rates : the role of sticky information
Crucini, Mario J.; Shintani, Mototsugu; Tsuruga, Takayuki - In: Journal of international economics 81 (2010) 1, pp. 48-60
Persistent link: https://www.econbiz.de/10008648743
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Accounting for persistence and volatility of good-level real exchange rates : the role of sticky information
Crucini, Mario J.; Shintani, Mototsugu; Tsuruga, Takayuki - 2008
Persistent link: https://www.econbiz.de/10003671650
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Information, volatility and the cost of capital
De Launois, Tanguy - 2009
Persistent link: https://www.econbiz.de/10003986036
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Information ambiguity and firm value
Hussinger, Katrin; Pacher, Sebastian - In: Applied economics letters 22 (2015) 10/12, pp. 843-847
Persistent link: https://www.econbiz.de/10011286061