Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Do Implied Volatilities Provide Early Warning of Market Stress?

11 references·2 citing·43 second hop

FromToDepth

this work references cited by second hop

References

1998Leading Indicators of Currency Crises1,857 cited
1998The relation between implied and realized volatility1,114 cited
1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
1993The Informational Content of Implied Volatility761 cited
1995Predicting Volatility in the Foreign Exchange Market723 cited
1999Leading Indicators of Currency Crises696 cited
1998The quality of market volatility forecasts implied by S&P 100 index option prices476 cited
1999Are Currency Crises Predictable? A Test472 cited
1997Inferring Future Volatility from the Information in Implied Volatility in Eurodollar Options: A New Approach116 cited
1998Are Currency Crises Predictable? A Test94 cited
1988Tests of the foreign exchange risk premium using the expected second moments implied by option pricing38 cited

Cited by

2008The Complete Picture of Credit Default Swap Spreads - A Quantile Regression Approach28 cited
2010The Impact of the Federal Reserve's Interest Rate Target Announcement on Stock Prices: A Closer Look at how the Market Impounds New Information28 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work