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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 …
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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...
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