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The Forecasting Efficacy of Risk‐Neutral Moments for Crude Oil Volatility
16 references·1 citing·43 second hop
The Forecasting Efficacy of Risk‐Neutral Moments for Crude Oil Volatility (2015)The Forecasting Efficacy of Risk‐Neutral …Oil Price Uncertainty (2010)Oil Price UncertaintyUnderstanding the VIX (2009)Understanding the VIXThe Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)How Often to Sample a Continu…The economic value of volatility timing using “realized” volatility (2003)The economic value of volatil…Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Spanning and derivative-security valuation (2000)Spanning and derivative-secur…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 …This is what happened to the oil price-macroeconomy relationship (1996)This is what happened to the …Implied Binomial Trees (1994)Implied Binomial TreesStock market volatility and the information content of stock index options (1992)Stock market volatility and t…Option pricing: A simplified approach (1979)Option pricing: A simplified …Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter? (2020)Modeling realized volatility …The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Momentum crashes (2016)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)What's Vol Got to Do with It (2010)Tails, Fears, and Risk Premia (2011)Oil and the Macroeconomy since World War II (1983)Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)The Economic Effects of Energy Price Shocks (2008)The Pricing of Options on Assets with Stochastic Volatilities (1987)The VIX, the variance premium and stock market volatility (2014)The valuation of options for alternative stochastic processes (1976)Post-'87 crash fears in the S&P 500 futures option market (2000)An Engine, Not a Camera (2006)Editor's Choice Digesting Anomalies: An Investment ApproachCommon risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)On estimating the expected return on the market (1980)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Modeling and Forecasting Realized Volatility (2003)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Theory of rational option pricing (2005)Risk, Return, and Equilibrium: Empirical Tests (1973)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Demand-Based Option Pricing (2005)
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References

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  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
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  • 1998The relation between implied and realized volatility1,114 cited
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  • 2003

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Forecasting Volatility in Financial Markets: A Review
545 cited

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  • 2020Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?20 cited