Why does option-implied volatility forecast realized volatility? : evidence from news events
Sipeng Chen, Gang Li
| Year of publication: |
2023
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|---|---|
| Authors: | Chen, Sipeng ; Li, Gang |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 156.2023, p. 1-14
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| Subject: | Fundamental and non-fundamental news | Implied volatility | News intensity and magnitude | Realized volatility | Scheduled and unscheduled news | Volatilität | Volatility | Ankündigungseffekt | Announcement effect | Börsenkurs | Share price | Schätzung | Estimation | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2023.107019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014487208