Tsiaras, Leonidas - School of Economics and Management, University of Aarhus - 2010
This study examines the information content of alternative implied volatility measures for the 30 components of the Dow … volatility expectations, the recently proposed corridor implied volatility (CIV) measures are explored. For all pair …-wise comparisons, it is found that a CIV measure that is closely related to the model-free implied volatility, nearly always delivers …