The predictive power of implied volatility: Evidence from 35 futures markets

By Andrew C. Szakmary, Evren Ors, J. Kim, W. Davidson. 2003

209 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7f5453d6dad0ad40adfa2aa02daff1700bcd8b86

Citations in the corpus

• The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling (2014, unknown): “9 Across numerous commodity and financial contracts, implied volatility has been found to be a better predictor of future volatility than measures based on historic price volatility, including GARCH models (Poon and Granger 2003, Szakmary et al. 2003). Intuitively, if markets are efficient then opti”
• Forecasting Volatility of the U.S. Oil Market (2014, unknown): “Day and Lewis (1993); Szakmary et al. (2003); Doran and Ronn (2005); Agnolucci (2009)). According to Jorion (1995), a failure to unearth IV’s predictive power can only be interpreted in two ways; inefficient information processing in options markets or misleading test procedures.”