๐”– Bobbio Scriptorium
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VOLATILITY FORECASTS, TRADING VOLUME, AND THE ARCH VERSUS OPTION-IMPLIED VOLATILITY TRADE-OFF

โœ Scribed by R. Glen Donaldson; Mark J. Kamstra

Book ID
111215487
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
126 KB
Volume
28
Category
Article
ISSN
0270-2592

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๐Ÿ“œ SIMILAR VOLUMES

The interrelation of price volatility an
The interrelation of price volatility and trading volume of currency options
โœ Ghulam Sarwar ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 126 KB ๐Ÿ‘ 1 views

## Abstract This article examines the interrelations between future volatility of the U.S. dollar/British pound exchange rate and trading volume of currency options for the British pound. The future volatility of the exchange rate is approximated alternatively by implied volatility and by IGARCH vo

Stock return dynamics, option volume, an
Stock return dynamics, option volume, and the information content of implied volatility
โœ Stewart Mayhew; Chris Stivers ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 192 KB ๐Ÿ‘ 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