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The information content of implied volatility index (India VIX)

Shaikh, Imlak; Padhi, Puja - In: Global business perspectives 1 (2013) 4, pp. 359-378

Persistent link: https://www.econbiz.de/10010230219

Implied volatility index of KOSPI200 : information contents and properties

Ryu, Doojin - In: Emerging markets finance & trade : a journal of the … 48 (2012), pp. 24-39

Persistent link: https://www.econbiz.de/10009682531

Exploring forecast error and the informational content of implied volatility in the Taiwan market

Lee, Yen-Hsien; Lin, Chi-tai; Chiang, Shu-mei - In: Asia-Pacific journal of financial studies 41 (2012) 5, pp. 590-609

Persistent link: https://www.econbiz.de/10009665556

The information content of ASX SPI 200 implied volatility

Tanha, Hassan; Dempsey, Michael - In: Review of Pacific Basin financial markets and policies 19 (2016) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011490536

Information content in sneer asymmetry : an application to out-of-sample implied volatility forecasting

Choi, Youngsoo; Jordan, Steven J.; Lee, Wonchang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 34-51

Persistent link: https://www.econbiz.de/10011404184

Forecasting stock market volatility and information content of implied volatility index

Pati, Pratap Chandra; Barai, Parama; Rajib, Prabina - In: Applied economics 50 (2018) 23, pp. 2552-2568

Persistent link: https://www.econbiz.de/10011850295

New evidence on the information content of implied volatility of S&P 500 : model-free versus model-based

Zhang, Weiwei; Sun, Tiezhu; Ma, Yechi; Wang, Zilong - In: Romanian journal of economic forecasting 24 (2021) 1, pp. 109-121

Persistent link: https://www.econbiz.de/10012587118

Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Persistent link: https://www.econbiz.de/10013097543

Market Imperfections and the Information Content of Implied and Realized Volatility

Wong, Woon K.; Tu, Anthony - 2008

The information content of option implied volatility and realized volatility under market imperfections are studied in … the context of GARCH modeling and volatility forecasts of Taiwan stock market (TAIEX) returns. Consistent with most … studies, we find that the Taiwan implied volatility index (TVIX) calculated from the TAIEX option prices contains most of the …

Persistent link: https://www.econbiz.de/10014220367

Pricing Hang Seng Index options around the Asian financial crisis : a GARCH approach

Duan, Jin-Chuan; Zhang, Hua - In: Journal of banking & finance 25 (2001) 11, pp. 1989-2014

Persistent link: https://www.econbiz.de/10001617904