Amin, Kaushik I; Ng, Victor K - In: Review of Financial Studies 10 (1997) 2, pp. 333-67
We study the information content of implied volatility from several volatility specifications of the Heath-Jarrow-Morton (1992) (HJM) models relative to popular historical volatility models in the Eurodollar options market. The implied volatility from the HJM models explains much of the...
