Similar Search Results

The information content of option-based forecasts of volatility : evidence from the Italian stock market

Muzzioli, Silvia - In: The quarterly journal of finance 3 (2013) 1, pp. 13500051-135000546

Persistent link: https://www.econbiz.de/10010198265

Assessing the quality of volatility estimators via option pricing

Sanfelici, Simona; Uboldi, Adamo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 2, pp. 103-124

Persistent link: https://www.econbiz.de/10010347332

Information content in sneer asymmetry : an application to out-of-sample implied volatility forecasting

Choi, Youngsoo; Jordan, Steven J.; Lee, Wonchang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 34-51

Persistent link: https://www.econbiz.de/10011404184

Assessing the performance of symmetric and asymmetric implied volatility functions

Andreou, Panayiotis C.; Charalambous, Chris; … - In: Review of quantitative finance and accounting 42 (2014) 3, pp. 373-397

Persistent link: https://www.econbiz.de/10010391631

Prognosemodelle und Handelsansätze für Implizite Volatilitäten

Sachtler, Michael - 2004

Persistent link: https://www.econbiz.de/10002392690

Forecasting credit spread volatility : evidence from the Japanese Eurobond market

Johnson, Brock N.; Batten, Jonathan A. - In: Asia-Pacific financial markets 10 (2003) 4, pp. 335-357

Persistent link: https://www.econbiz.de/10003083939

A source of unbiased implied volatility forecasts

Feinstein, Steven Phillip - 1988

Persistent link: https://www.econbiz.de/10000987043

Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests

Bernales, Alejandro - 2013

We examine whether the dynamics of the implied volatility surface of individual equity options contains exploitable …. In particular, we explore the possibility that the dynamics of the implied volatility surface of individual equity … options may be associated with movements in the volatility surface of S&P 500 index options. We present evidence of strong …

Persistent link: https://www.econbiz.de/10013073319

Option-based forecasts of volatility : an empirical study in the DAX-index options market

Muzzioli, Silvia - In: The European journal of finance 16 (2010) 5/6, pp. 561-586

Persistent link: https://www.econbiz.de/10008698557

Nowcasting networks

Chataigner, Marc; Crépey, Stéphane; Pu, Jiang - In: The journal of computational finance 24 (2020) 3, pp. 1-39

Persistent link: https://www.econbiz.de/10012543628