Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For one-day-ahead estimation … the historical volatility for 85% of the firms. However, the model-free volatility expectations are generally outperformed …
