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Evaluating forecasts of correlation using option pricing
Gibson, Michael S.; Boyer, Brian H. - In: The journal of derivatives : the official publication … 6 (1998) 2, pp. 18-38
Persistent link: https://www.econbiz.de/10001355577
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Sector option implied volatility dynamics and predictability
Marks, Joseph M.; Simon, David P. - In: The journal of derivatives : the official publication … 25 (2017) 2, pp. 22-42
Persistent link: https://www.econbiz.de/10011941219
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Long-memory versus option-implied volatility predictions
Li, Kai - In: The journal of derivatives : the official publication … 9 (2002) 3, pp. 9-25
Persistent link: https://www.econbiz.de/10001708432
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Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.; López, José A. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
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Forecasting volatilities and coorelations with EGARCH models
Cumby, Robert - In: The journal of derivatives : the official publication … 1 (1993) 2, pp. 51-63
Persistent link: https://www.econbiz.de/10001220370
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Monetary policy surprises and firm-level stock return predictability : evidence from a new panel-based approach
Floro, Danvee - In: Applied economics letters 25 (2018) 17, pp. 1255-1260
Persistent link: https://www.econbiz.de/10012135374
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Re-assessing international stock return predictability : evidence from directional accuracy and excess profitability tests
Siliverstovs, Boriss - In: Applied economics letters 24 (2017) 1/3, pp. 1-3
Persistent link: https://www.econbiz.de/10011703719
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Option-implied volatility measures and stock return predictability
Fu, Xi; Arisoy, Yakup Eser; Shackleton, Mark B.; … - In: The journal of derivatives : the official publication … 24 (2016) 1, pp. 58-78
Persistent link: https://www.econbiz.de/10011687331
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International stock return predictability : on the role of the United States in bad and good times
Siliverstovs, Boriss - In: Applied economics letters 24 (2017) 10/12, pp. 771-773
Persistent link: https://www.econbiz.de/10011714201
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The role of variance risk premium in predicting excess stock market return : out-of-sample evidences
Chen, Jian; Chen, Liya; Wang, Xiaoke; Zuo, Haomiao - In: Applied economics letters 22 (2015) 16/18, pp. 1382-1388
Persistent link: https://www.econbiz.de/10011380203