Showing 1 - 10 of 12,446
Persistent link: https://www.econbiz.de/10009667379
Persistent link: https://www.econbiz.de/10010460917
This paper evaluates and compares the ability of alternative option-implied volatility measures to forecast the monthly … realized volatility of crude-oil returns. We find that a corridor implied volatility measure that aggregates information from a …-free volatility expectations, as well as those generated by a high-frequency realized volatility model. In particular, this measure …
Persistent link: https://www.econbiz.de/10012835335
Persistent link: https://www.econbiz.de/10012873205
Behavioral theories contend that the human decision-making process tends to both incorporate anchor points and improperly weight low probability events. In this study, we find evidence that equity option market investors anchor to prices and incorporate a probability weighting function similar...
Persistent link: https://www.econbiz.de/10012972165
Persistent link: https://www.econbiz.de/10013275599
Persistent link: https://www.econbiz.de/10012745422
Persistent link: https://www.econbiz.de/10012388022
Persistent link: https://www.econbiz.de/10011951026
Persistent link: https://www.econbiz.de/10011922944