On the informational content of implied volatility

By J. C. Sosa. 2000

280 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3b31041158598da3957a4024b4598f1922ef59d8

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Citations in the corpus

The predictive power of implied volatility: Evidence from 35 futures markets (2003, methodology): “Another factor which might influence our results is the inverse relationship between time to expiration and the IV reported in Becker and Tucker (1991), Canina and Figlewski (1993) , and Park and Sears (1985).”
A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility (2002, unknown): “For example, Day and Lewis (1992) and Canina and Figlewski (1993) use the squared correlation between realized and forecasted volatility, as well as encompassing regressions, and Taylor and Xu (1997) use measures of relative forecast errors.”
Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, unknown): “At-the-money caps are struck at the swap rate for the corresponding 14For discussions of the relation between implied and realized volatilities, see Day and Lewis (1988), Lamoureux and Lastrape (1993), and Canina and Figlewski (1993).”
Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation (2005, background): “In what sense is implied volatility an average expected volatility? Some econometric studies [11, 13] test whether or not implied volatility is an “unbiased” predictor of future volatility, but they have limited relevance to our question, because they address the empirics of a far narrower question ”
Do option markets correctly price the probabilities of movement of the underlying asset (2001, background): “Rubinstein (1985), Day and Lewis (1988, 1990), Engle and Mustafa (1992), Canina and Figlewski (1993), Lamoureux and Lastrapes (1993), and for a study of the e!ect of institutional features on”
Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns (2001, unknown): “Implied volatilities used in many previous studies (including Day and Lewis (1992), Canina and Figlewski (1993) and Christensen and Prabhala (1998)) contain relevant measurement errors whose magnitudes are unknown.”
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets (2007, unknown): “…Jorion (1995), Xu & Taylor (1995), Covrig & Low (2003), and Pong, Shackleton, Taylor & Xu (2004) on the foreign exchange market, Day & Lewis (1992), Canina & Figlewski (1993), Lamoureux & Lastrapes (1993), Christensen & Prabhala (1998), Fleming (1998), and Blair, Poon & Taylor (2001) on the stock…”
Volatility Information Trading in the Option Market (2008, unknown): “6 See, for example, Latane and Rendleman (1976), Canina and Figlewski (1993) , Christensen and Prabhala (1998),”
On the Role of Risk Premia in Volatility Forecasting (2007, background): “…ATM implied volatility is (1) informative about future volatility, (2) superior to other measures of volatility, and (3) an upward-biased predictor (see, e.g., Day and Lewis 1992; Canina and Figlewski 1993; Lamoureux and Lastrapes 1993; Jorion 1995; Blair, Poon, and Taylor 2001; among others).”
A Practical Guide to Forecasting Financial Market Volatility (2005, background): “4) Canina and Figlewski (1993) conducted some simulatation studies and found the corrected standard errors in (2.”
Volatility puzzles: a simple framework for gauging return-volatility regressions (2006, unknown): “…the realized volatilities resulting in positive intercepts and slope coefficients less than unity in regression-based unbiasedness tests (see, e.g., Canina and Figlewski, 1993; Christensen and Prabhala, 1998; Day and Lewis, 1992; Fleming et al., 1995; Fleming, 1998; Lamoureux and Lastrapes, 1993,…”
Forecasting with Option-Implied Information (2012, unknown): “Almost all studies find that option-implied index volatility is useful in forecasting the volatility of the stock market index, a notable exception being Canina and Figlewski (1993).”
Modeling and predicting the CBOE market volatility index (2014, background): “See, among others, Canina and Figlewski (1993), Christensen and Prabhala (1998), Fleming (1998), Blair, Poon and Taylor (2001ab)), Martens and Zein (2004) Koopman, Jungbacker and Hol (2005), and Bandi and Perron (2006).”
Long Memory and the Relation between Implied and Realized Volatility (2006, methodology): “9Our original transformation, namely σR,BS, is used in Canina and Figlewski (1993), Fleming (1998), Jorion (1995), Christensen and Prabhala (1998) and Poteshman (2000), among others.”
The Information Content of Implied Volatilities and Model-Free Volatility Expectations: Evidence from Options Written on Individual Stocks (2010, unknown): “OLS regressions for option life forecasts Univariate and encompassing regressions are estimated for each firm, as in the index studies by Canina and Figlewski (1993), Christensen and Prabhala (1998) and Jiang and Tian (2005).”