The forecast quality of CBOE implied volatility indexes

By Charles J. Corrado, Thomas W. Miller. 2005

208 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/8aa2269c83b124a66871b63656e8b3056a22419b

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In Finance

1. Emilia Tzagkaraki
2. Eirini Konstantinidi
3. Raphael N. Markellos
4. Dimitris Psychoyios
5. George Dotsis
6. George Skiadopoulos
7. A. Sepp
8. J. Mencía

Citations in the corpus

• A jump diffusion model for VIX volatility options and futures (2010, background): “A number of studies have examined the forecasting power of volatility indices (see, among others, Fleming et al. 1995; Whaley 2000; Blair et al. 2001; Corrado and Miller 2005; Simon 2003; Giot 2005).”
• Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008, background): “…opportunities in the stock market (Copeland and Copeland, 1999, Whaley, 2000, Giot, 2005b, Banerjee et al., 2007), and to forecast the future market volatility (see e.g., Fleming et al., 1995, Moraux et al., 1999, Simon, 2003, Corrado and Miller, 2005, Giot, 2005a, Becker et al., 2007).”