𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The Informational Content of Implied Volatility

✍ Scribed by Linda Canina and Stephen Figlewski

Book ID
115547731
Publisher
Oxford University Press
Year
1993
Tongue
English
Weight
445 KB
Volume
6
Category
Article
ISSN
0893-9454

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

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: 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 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

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&

Stock return dynamics, option volume, an
Stock return dynamics, option volume, and the information content of implied volatility
✍ Stewart Mayhew; Chris Stivers πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 192 KB πŸ‘ 2 views

## 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