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Return Dynamics of Japanese Stock Index Options

โœ Scribed by Kazuhiko Nishina; MAGHREBI M. NABIL


Book ID
108566363
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
526 KB
Volume
48
Category
Article
ISSN
1352-4739

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## Abstract This article reports new empirical results on the information content of implied volatility, with respect to modeling and forecasting the volatility of individual firm returns. The 50 firms with the highest option volume on the Chicago Board Options Exchange between 1988 and 1995 are ex