future volatility. It is argued that the concept of corridor implied volatility (CIV) should be used instead of the popular … based on wavelets, a wavelet band least squares (WBLS) uncovers that corridor implied volatility is an unbiased forecast of …

future volatility. It is argued that the concept of corridor implied volatility (CIV) should be used instead of the popular … based on wavelets, a wavelet band least squares (WBLS) uncovers that corridor implied volatility is an unbiased forecast of …

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

measure, distorting the time series properties of VIX. We introduce a novel “Corridor Implied Volatility” index (CX) computed …

Corridor implied volatility introduced in Carr and Madan (1998) and recently implemented in Andersen and Bondarenko …. First we investigate the forecasting performance of corridor implied volatility by choosing different corridors with … implied volatility is implicitly linked with the concept that the tails of the risk-neutral distribution are estimated with …