Showing 1 - 10 of 15
Persistent link: https://www.econbiz.de/10013468468
Persistent link: https://www.econbiz.de/10003356522
Persistent link: https://www.econbiz.de/10003403117
Persistent link: https://www.econbiz.de/10012663694
Persistent link: https://www.econbiz.de/10001227642
Persistent link: https://www.econbiz.de/10002590112
We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time-varying, suggesting that the VS-return predictability could be...
Persistent link: https://www.econbiz.de/10014236536
Persistent link: https://www.econbiz.de/10014365179
Persistent link: https://www.econbiz.de/10009671825
Persistent link: https://www.econbiz.de/10002627304