New evidence on the information content of implied volatility of S&P 500 : model-free versus model-based
Year of publication: |
2021
|
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Authors: | Zhang, Weiwei ; Sun, Tiezhu ; Ma, Yechi ; Wang, Zilong |
Published in: |
Romanian journal of economic forecasting. - Bucharest : Inst., ISSN 2537-6071, ZDB-ID 2428295-9. - Vol. 24.2021, 1, p. 109-121
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Subject: | Implied volatility | VIX | Realized volatility | Information | Volatility forecasts | Volatility models | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Informationswert | Information value | Optionsgeschäft | Option trading | Kapitaleinkommen | Capital income | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
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