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Do Aussie markets smile? : implied volatility functions and determinants

Tanha, Hassan; Dempsey, Michael - In: Applied economics 47 (2015) 28/30, pp. 3143-3163

Persistent link: https://www.econbiz.de/10011289355

On the relationship of ex-ante and ex-post volatility : a sub-period analysis of S&P CNX Nifty Index options

Shaikh, Imlak; Padhi, Puja - In: Journal of emerging market finance 14 (2015) 2, pp. 140-175

Persistent link: https://www.econbiz.de/10011378502

Are the KOSPI 200 implied volatilities useful in value-at-risk models?

Kim, Jun Sik; Ryu, Doojin - In: Emerging markets review 22 (2015), pp. 43-64

Persistent link: https://www.econbiz.de/10011304192

Forecasting the variability of stock index returns with stochastic volatility models and implied volatility

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2000

In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation which facilitates the use of statistical tests for...

Persistent link: https://www.econbiz.de/10011304384

Can derivative information predict stock price jumps?

Kwark, Noe-Keol; Kang, Hyoung Goo; Jun, Sang-Gyung - In: The journal of applied business research 31 (2015) 3, pp. 845-860

Persistent link: https://www.econbiz.de/10011304812

The forecasting efficacy of risk-neutral mopments for crude oil volatility

Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay; Wang, … - In: Journal of forecasting 34 (2015) 3, pp. 177-190

Persistent link: https://www.econbiz.de/10011305272

Cross-section stock return and implied covariance between jump and diffusive volatility

Ze-To, Samuel Yau Man - In: Journal of forecasting 34 (2015) 5, pp. 379-390

Persistent link: https://www.econbiz.de/10011318319

The asymmetric response of volatility to market changes and the volatility smile : evidence from Australian options

Tanha, Hassan; Dempsey, Michael - In: Research in international business and finance 34 (2015), pp. 164-176

Persistent link: https://www.econbiz.de/10011325745

Sovereign rating actions and the implied volatility of stock index options

Tran, Vu; Alsakka, Rasha; Ap Gwilym, Owain - In: International review of financial analysis 34 (2014), pp. 101-113

Persistent link: https://www.econbiz.de/10010528470

Forecasting option smile dynamics

Le, Van; Zurbruegg, Ralf - In: International review of financial analysis 35 (2014), pp. 32-45

Persistent link: https://www.econbiz.de/10010529632