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Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options
16 references·2 citing·36 second hop
Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options (2005)Intermediate Volatility Forecasts Using I…The predictive power of implied volatility: Evidence from 35 futures markets (2003)The predictive power of impli…How Relevant is Volatility Forecasting for Financial Risk Management? (2000)How Relevant is Volatility Fo…The relation between implied and realized volatility (1998)The relation between implied …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Commodity Futures Prices as Forecasts (1997)Commodity Futures Prices as F…Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …Analysis of the Term Structure of Implied Volatilities (1994)Analysis of the Term Structur…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Some determinants of the volatility of futures prices (1985)Some determinants of the vola…Orange Juice and Weather (1984)Orange Juice and WeatherAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The pricing of commodity contracts (1976)The pricing of commodity cont…Aspectos comportamentais na comercialização de soja: Um estudo com produtores do Noroeste gaúcho (2023)Aspectos comportamentais na c…Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting (2009)Live and Feeder Cattle Option…The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Model-Free Implied Volatility and Its Information Content (2005)Momentum crashes (2016)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Theory of Rational Option Pricing (1973)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Application of neural networks to an emerging financial market: forecasting and trading the Taiwan Stock Index (2002)Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Measuring and Testing the Impact of News on Volatility (1993)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
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  • 1976The pricing of commodity contracts2,859 cited
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  • 2000How Relevant is Volatility Forecasting for Financial Risk Management?336 cited
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  • 2003The predictive power of implied volatility: Evidence from 35 futures markets198 cited
  • 1994Analysis of the Term Structure of Implied Volatilities

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184 cited
  • 1997Commodity Futures Prices as Forecasts158 cited
  • Cited by

    • 2009Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting20 cited
    • 2023Aspectos comportamentais na comercialização de soja: Um estudo com produtores do Noroeste gaúcho0 cited