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Impact of net buying pressure on changes in implied volatility : before and after the onset of the subprime crisis
Shiu, Yung-ming; Pan, Ging-ginq; Lin, Shu-hui; Wu, Tu-cheng - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 54-66
Persistent link: https://www.econbiz.de/10003985513
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Extrapolation and option-implied kurtosis in volatility forecasting
Pan, Ging-Ginq; Shiu, Yung-Ming; Wu, Tu-Cheng - In: Pacific-Basin finance journal 84 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014534532
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Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?
Pan, Ging-Ginq; Shiu, Yung-Ming; Wu, Tu-Cheng - In: Journal of financial markets 57 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013188762