The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility …

different criteria, the model-free implied volatility is the best performing forecast, overall, of future volatility, with this … are explicitly taken into account. The option-based component of the analysis also accommodates the concept of model-free … implied volatility, such that the forecasting performance of the options market is separated from the issue of …

Corridor implied volatility is obtained from model-free implied volatility by truncating the integration domain between …

class, <CitationRef CitationID="CR4">2007</CitationRef>) is obtained from model-free implied volatility by truncating the …

This paper proposes a new methodology to measure the volatility of CO2 assets computed as the difference between model-free … implied volatility (from option prices) and model-free realized volatility (from high-frequency intraday data), coined as …