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Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices

✍ Scribed by Eirini Konstantinidi; George Skiadopoulos; Emilia Tzagkaraki

Book ID
116615191
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
221 KB
Volume
32
Category
Article
ISSN
0378-4266

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πŸ“œ SIMILAR VOLUMES

The information content of implied volat
The information content of implied volatility: Evidence from Australia
✍ Bart Frijns; Christian Tallau; Alireza Tourani-Rad πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 157 KB πŸ‘ 2 views

## Abstract This study develops an implied volatility index for the Australian stock market, termed as the AVX, and assesses its information content. The AVX is constructed using S&P/ASX 200 index options with a constant time‐to‐maturity of three months. It is observed that the AVX has a significan

The information content in implied idios
The information content in implied idiosyncratic volatility and the cross-section of stock returns: Evidence from the option markets
✍ Dean Diavatopoulos; James S. Doran; David R. Peterson πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 266 KB πŸ‘ 2 views

## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and