Search Results - subject:"implied variance"

Park, Yang-Ho - In: Journal of econometrics 214 (2020) 2, pp. 326-348

Persistent link: https://www.econbiz.de/10012438393

Calibration of local volatility using the local and implied instantaneous variance

Turinici, Gabriel - HAL - 2009

We document the calibration of the local volatility in terms of local and implied instantaneous variances; we first explore the theoretical properties of the method for a particular class of volatilities. We confirm the theoretical results through a numerical procedure which uses a Gauss-Newton...

Persistent link: https://www.econbiz.de/10008791649

The information content of short-term options

Oikonomou, Ioannis; Stancu, Andrei; Symeonidis, Lazaros; … - In: Journal of financial markets 46 (2019), pp. 1-17

Persistent link: https://www.econbiz.de/10012317893

The VIX, the variance premium, and expected returns

Osterrieder, Daniela; Ventosa-Santaulària, Daniel; … - In: Journal of financial econometrics 17 (2019) 4, pp. 517-558

Persistent link: https://www.econbiz.de/10012149836

Option-Implied variance asymmetry and the cross-section of stock returns

Huang, Tao; Li, Junye - In: Journal of banking & finance 101 (2019), pp. 21-36

Persistent link: https://www.econbiz.de/10012162590

Alternative methods to estimate implied variance : review and comparison

Chen, Yibing; Lee, Cheng F.; Lee, John; Chang, Jow-Ran - In: Review of Pacific Basin financial markets and policies 21 (2018) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10011976147

Option-implied expectations in commodity markets and monetary policy

Triantafyllou, Athanasios; Dotsis, George - In: Journal of international money and finance 77 (2017), pp. 1-17

Persistent link: https://www.econbiz.de/10011788082

Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion

Ubukata, Masato; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2011

This article evaluates the predictive performance of the market variance risk premium (VRP) in Japan on the Nikkei 225 returns, credit spreads, and the composite index of coincident indicators. Different measures such as expected and ex-post VRPs, which are constructed from model-free implied...

Persistent link: https://www.econbiz.de/10009421790

Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market

Wang, Zhiguang; Fausti, Scott W.; Qasmi, Bashir A. - Economics Department, South Dakota State University - 2010

a measure of implied variance. Previous studies estimate implied variance based on Black (1976) model or forecast … variance using the GARCH models. Our implied variance approach, based on variance swap rate, is model independent. We compute … the daily 60-day variance risk premiums based on the difference between the realized variance and implied variance for the …

Persistent link: https://www.econbiz.de/10008568183

Insecticide Use and Crop Selection: A South Dakota Case Study

McDonald, Tia Michelle; Fausti, Scott W.; Keating, … - Economics Department, South Dakota State University - 2010

South Dakota has recently experienced a significant increase in the proportion of acres treated with insecticide. Unfortunately, data on insecticide usage by crop at the county level is not available. The following case study seeks to uncover the reasons for this increase by analyzing...

Persistent link: https://www.econbiz.de/10008867536