Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
By R. Becker, A. Clements, Scott I. White. 2007
130 citations recorded by the source corpus.
Subfields: Demography, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/bda365a0450026229cbe7fd6d85ff598bbebad39
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- A. McClelland
- George Skiadopoulos
- Stavros Degiannakis *
- Eric Ghysels
- George Filis
- Christopher S. Jones
- Jun Pan
In Economics and Econometrics
- Stavros Degiannakis *
- George Filis
- Eric Ghysels
- Xilong Chen
- Renatas Kizys
- Emilia Tzagkaraki
- Eirini Konstantinidi
- A. Clements
In Finance
- George Filis
- Eric Ghysels
- Xilong Chen
- Stavros Degiannakis *
- Emilia Tzagkaraki
- Eirini Konstantinidi
- A. McClelland
- Renatas Kizys
Citations in the corpus
- Modeling and predicting the CBOE market volatility index (2014, unknown): “In addition, given the well-documented relationship between volume and volatility (Lamoureux and Lastrapes, 1990; Chan and Fong, 2000; Becker et al., 2007), we also add the S&P 500 volume change to the”
- 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).”
- The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data (2014, background): “This is a very interesting finding considering that several aforementioned studies have concluded that implied volatility indices provide superior information (see Xekalaki and Degiannakis, 2010; Becker et al., 2007; Andersen et al., 2005a; Andersen et al., 2001 and Bollerslev et al., 1992).”
- News - Good or Bad - and its Impact on Volatility Predictions over Multiple Horizons (2011, background): “Instead, they are within the context of MIDAS regressions and replace the function m(.) by various parametric functional forms.”
- The jump component of S&P 500 volatility and the VIX index (2009, background): “The VIX is constructed to be a general measure of the market's estimate of average S&P 500 volatility over the subsequent 22 trading days (Blair, Poon and Taylor 2001, and Christensen and Prabhala, 1998)(3). As highlighted by Jiang and Tian (2003), the advantages of such a model-free approach to com”