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Market imperfections and the information content of implied and realized volatility

✍ Scribed by Woon K. Wong; Anthony H. Tu

Book ID
116816861
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
613 KB
Volume
17
Category
Article
ISSN
0927-538X

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πŸ“œ SIMILAR VOLUMES

The information content of implied volat
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
✍ Pierre Giot; SΓ©bastien Laurent πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 186 KB πŸ‘ 2 views

## Abstract In the framework of encompassing regressions, the information content of the jump/continuous components of historical volatility is assessed when implied volatility is included as an additional regressor. The authors' empirical application focuses on daily and intradaily data for the S&

The Information Content of Model-Free Im
The Information Content of Model-Free Implied Volatility
✍ Xin Cheng; Joseph K.W. Fung πŸ“‚ Article πŸ“… 2012 πŸ› John Wiley and Sons 🌐 English βš– 543 KB

This study examines the information content of model‐free implied volatility (MFIV) estimates with respect to the options and futures markets in Hong Kong. In this study, the volatility forecasting performance of MFIV is compared, using different prediction horizons, to IV estimates based on Black's

The information content of implied volat
The information content of implied volatility in agricultural commodity markets
✍ Pierre Giot πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 112 KB πŸ‘ 2 views

## Abstract In this article we compare the incremental information content of lagged implied volatility to GARCH models of conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. We also assess the relevance of the additional information provided b