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Option-based forecasts of volatility: an empirical study in the DAX-index options market
16 references·2 citing·40 second hop
Option-based forecasts of volatility: an empirical study in the DAX-index options market (2010)Option-based forecasts of volatility: an …Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …The relation between implied and realized volatility (1998)The relation between implied …Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …5 Stochastic volatility (1996)5 Stochastic volatilityComparing Predictive Accuracy (1994)Comparing Predictive AccuracyA Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…ARCH modeling in finance (1992)ARCH modeling in financeThe Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Specification Tests in Econometrics (1978)Specification Tests in Econom…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The skewness index: uncovering the relationship with volatility and market returns (2021)The skewness index: uncoverin…Option implied ambiguity and its information content: Evidence from the subprime crisis (2015)Option implied ambiguity and …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Theory of Rational Option Pricing (1973)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)On the Pooling of Time Series and Cross Section Data (1978)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Econometric Analysis of Cross Section and Panel Data (2001)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)How Sovereign Is Sovereign Credit Risk? (2011)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1978Specification Tests in Econometrics18,788 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 19965 Stochastic volatility1,189 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited

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1991
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
874 cited

Cited by

  • 2015Option implied ambiguity and its information content: Evidence from the subprime crisis35 cited
  • 2021The skewness index: uncovering the relationship with volatility and market returns32 cited