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Forecasting stock index volatility: comparing implied volatility and the intraday high-low price range

Corrado, Charles Joseph; Truong, Cameron - In: The journal of financial research 30 (2007) 2, pp. 201-215

Persistent link: https://www.econbiz.de/10003484305

The options market response to accounting earnings announcements

Truong, Cameron; Corrado, Charles Joseph; Chen, Yangyang - In: Journal of international financial markets, … 22 (2012) 3, pp. 423-450

Persistent link: https://www.econbiz.de/10009623553

Forecasting stock index volatility : the incremental information in the intraday high-low price range

Corrado, Charles Joseph; Truong, Cameron - 2004

Persistent link: https://www.econbiz.de/10002128186

Forecasting stock index volatility : the incremental information in the intraday high-low price range

Corrado, Charles Joseph; Truong, Cameron - 2004

Persistent link: https://www.econbiz.de/10002253950

The forecast quality of CBOE implied volatility indexes

Corrado, Charles Joseph; Miller, Thomas W. - 2004

Persistent link: https://www.econbiz.de/10002120589

The forecast quality of CBOE implied volatility indexes

Corrado, Charles Joseph; Miller, Thomas W. - In: The journal of futures markets 25 (2005) 4, pp. 339-373

Persistent link: https://www.econbiz.de/10002647798

Implied volatility skews and stock return skewness and kurtosis implied by stock option prices

Corrado, Charles Joseph - In: The European journal of finance 3 (1997) 1, pp. 73-85

Persistent link: https://www.econbiz.de/10001219143

An empirical test of the Hull-White option pricing model

Corrado, Charles Joseph - In: The journal of futures markets 18 (1998) 4, pp. 363-378

Persistent link: https://www.econbiz.de/10001242646

Stock price response to S&P 500 index inclusions : do options listings and options trading volume matter?

Chen, Yangyang; Koutsantony, Constantine; Truong, Cameron; … - In: Journal of international financial markets, … 23 (2013), pp. 379-401

Persistent link: https://www.econbiz.de/10009707491

Earnings Announcement Idiosyncratic Volatility and the Cross-Section of Stock Returns

Truong, Cameron - 2016

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in the 10-day window before future earnings announcements. The average of risk-adjusted return differences between stocks with the highest earnings announcement idiosyncratic...

Persistent link: https://www.econbiz.de/10013000946