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The information content of implied volatilities and model-free volatility expectations : evidence from options written on individual stocks
Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - In: Journal of banking & finance 34 (2010) 4, pp. 871-881
Persistent link: https://www.econbiz.de/10003966119
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Investigating the information content of the model-free volatility expectation by Monte Carlo methods
Zhang, Yuanyuan; Taylor, Stephen; Wang, Lili - In: The journal of futures markets 33 (2013) 11, pp. 1071-1095
Persistent link: https://www.econbiz.de/10010255100
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The information content of implied volatilities and model-free volatility expectations : evidence from options written on individual stocks
Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009
The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...
Persistent link: https://www.econbiz.de/10003857823
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The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - 2009
The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...
Persistent link: https://www.econbiz.de/10010302536
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The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...
Persistent link: https://www.econbiz.de/10008684983
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Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets
Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399
Persistent link: https://www.econbiz.de/10010528976
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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter
Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973
Persistent link: https://www.econbiz.de/10011860929
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Forecasting the daily dynamic hedge ratios in emerging European stock futures markets : evidence from GARCH models
Choudhry, Taufiq; Hasan, Mohammad S.; Zhang, Yuanyuan - In: International journal of banking, accounting and finance 10 (2019) 1, pp. 67-100
Persistent link: https://www.econbiz.de/10012051118
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Option valuation via nonaffine dynamics with realized volatility
Zhang, Yuanyuan; Zhang, Qian; Wang, Zerong; Wang, Qi - In: Journal of empirical finance 77 (2024), pp. 1-28
Persistent link: https://www.econbiz.de/10014578567
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On the market efficiency and liquidity of high-frequency cryptocurrencies in a bull and bear market
Zhang, Yuanyuan; Chan, Stephen; Chu, Jeffrey; Sulieman, Hana - In: Journal of risk and financial management : JRFM 13 (2020) 1/8, pp. 1-14
The market for cryptocurrencies has experienced extremely turbulent conditions in recent times, and we can clearly identify strong bull and bear market phenomena over the past year. In this paper, we utilise algorithms for detecting turnings points to identify both bull and bear phases in...
Persistent link: https://www.econbiz.de/10012173261