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Implied
volatility
sentiment : a tale of two tails
Stork, Philip
;
Félix, Luiz
;
Kräussl, Roman
-
2017
. We find that our
implied
volatility
(IV) sentiment measure, jointly derived from index and single stock options, explains …
Persistent link: https://www.econbiz.de/10011583312
Saved in:
2
The
implied
volatility
of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011778056
Saved in:
3
Forecasting the variability of stock index returns with stochastic volatility models and
implied
volatility
Hol Uspensky, Eugenie
;
Koopman, Siem Jan
-
2000
implied by option prices. We develop anSV model with
implied
volatility
as an exogeneous var able in the varianceequation …+ model produces the most accurate out-of-sample volatilityforecasts and that the model that only utilises
implied
volatility
…
Persistent link: https://www.econbiz.de/10011304384
Saved in:
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