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The implied volatility term structure of stock index options

โœ Scribed by Scott Mixon


Book ID
116641600
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
404 KB
Volume
14
Category
Article
ISSN
0927-5398

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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