Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011
implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … all horizons. By contrast, when implied volatility is considered, a volatility feedback becomes apparent, whereas the … implied volatility which contains important information on future volatility, through its nonlinear relation with option …