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The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
16 references·16 citing·29 second hopsampled
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility (2007)The information content of implied volati…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The distribution of realized stock return volatility (2001)The distribution of realized …Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting S&P 100 volatilit…The relation between implied and realized volatility (1998)The relation between implied …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Predicting stock market volatility: A new measure (1995)Predicting stock market volat…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …Stock market volatility and the information content of stock index options (1992)Stock market volatility and t…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Studies of stock market volatility changes (1976)Studies of stock market volat…Can the Baidu Index predict realized volatility in the Chinese stock market? (2021)Can the Baidu Index predict r…Implied volatility indices – A review (2020)Implied volatility indices – …Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks (2019)Forecasting the volatility of…Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets (2019)Forecasting the U.S. stock vo…Forecasting stock market volatility and information content of implied volatility index (2017)Forecasting stock market vola…An International Comparison of Implied, Realized, and GARCH Volatility Forecasts (2016)An International Comparison o…Effects of the US Stock Market Return and Volatility on the VKOSPI (2015)Effects of the US Stock Marke…Does VIX or volume improve GARCH volatility forecasts? (2015)Does VIX or volume improve GA…Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility (2014)Semi-parametric Conditional Q…Are the KOSPI 200 implied volatilities useful in value-at-risk models? (2014)Are the KOSPI 200 implied vol…Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility (2013)Semiparametric Conditional Qu…Realized volatility transmission between crude oil and equity futures markets: A multivariate HAR approach (2013)Realized volatility transmiss…Realized volatility spillovers in the non-ferrous metal futures market (2013)Realized volatility spillover…Overnight stock returns and realized volatility (2013)Overnight stock returns and r…Using CAViaR Models with Implied Volatility for Value‐at‐Risk Estimation (2011)Using CAViaR Models with Impl…Are There Structural Breaks in Realized Volatility? (2008)Are There Structural Breaks i…The Behavior of Stock-Market Prices (1965)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)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Specification Tests in Econometrics (1978)Stochastic Integration and Differential Equations (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Expected Stock Returns and Variance Risk Premia (2009)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Theory of Intraday Patterns: Volume and Price Variability (1988)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1976Studies of stock market volatility changes885 cited
  • 1992Stock market volatility and the information content of stock index options667 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

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609 cited
  • 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited
  • 1995Predicting stock market volatility: A new measure538 cited
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    • 2013Overnight stock returns and realized volatility68 cited
    • 2020Implied volatility indices – A review67 cited
    • 2011Using CAViaR Models with Implied Volatility for Value‐at‐Risk Estimation65 cited
    • 2016An International Comparison of Implied, Realized, and GARCH Volatility Forecasts52 cited
    • 2017Forecasting stock market volatility and information content of implied volatility index51 cited
    • 2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets51 cited
    • 2015Does VIX or volume improve GARCH volatility forecasts?49 cited
    • 2014Are the KOSPI 200 implied volatilities useful in value-at-risk models?44 cited
    • 2013Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility43 cited
    • 2015Effects of the US Stock Market Return and Volatility on the VKOSPI42 cited
    • 2021Can the Baidu Index predict realized volatility in the Chinese stock market?40 cited
    • 2014Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility38 cited