The Information Content of Implied Volatilities and Model-Free Volatility Expectations: Evidence from Options Written on Individual Stocks

By Stephen J. Taylor, P. K. Yadav, Yuanyuan Zhang. 2010

131 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d0513756792c8fd6e0bc23035ceb1742c54c15b9

Citations in the corpus

• Uncertainty Shocks as Second-Moment News Shocks (2017, unknown): “1 Introduction A growing literature in macroeconomics studies the effects of news shocks on the economy. Models with rational forward-looking agents imply that pure changes in expectations about the future – news shocks – can induce a response in the aggregate economy. The existing literature has fo”