Search Results - subject:"Implied forward volatility"

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Stationary covariance regime for affine stochastic covariance models in Hilbert spaces

Friesen, Martin; Karbach, Sven - In: Finance and stochastics 28 (2024) 4, pp. 1077-1116

Persistent link: https://www.econbiz.de/10015130554

Designing volatility indices for Austria, Finland and Spain

Campisi, Giovanni; Muzzioli, Silvia - In: Financial markets and portfolio management 35 (2021) 3, pp. 369-455

Persistent link: https://www.econbiz.de/10012616167

Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options

Egelkraut, Thorsten M.; Garcia, Philip - In: Journal of Agricultural and Resource Economics 31 (2006) 03

Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non …-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility …

Persistent link: https://www.econbiz.de/10005805417

THE TERM STRUCTURE OF IMPLIED FORWARD VOLATILITY: RECOVERY AND INFORMATIONAL CONTENT IN THE CORN OPTIONS MARKET

Egelkraut, Thorsten M.; Garcia, Philip; Sherrick, Bruce J. - 2003

content of the implied forward volatility as a predictor of subsequent realized volatility. Using data from 1987-2001 and …

Persistent link: https://www.econbiz.de/10009442986

THE TERM STRUCTURE OF IMPLIED FORWARD VOLATILITY: RECOVERY AND INFORMATIONAL CONTENT IN THE CORN OPTIONS MARKET

Egelkraut, Thorsten M.; Garcia, Philip; Sherrick, Bruce J. - NCR-134 Conference on Applied Commodity Price Analysis, … - 2003

content of the implied forward volatility as a predictor of subsequent realized volatility. Using data from 1987-2001 and …

Persistent link: https://www.econbiz.de/10005344131