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New evidence on the implied-realized volatility relation
15 references·16 citing·38 second hop
New evidence on the implied-realized volatility relation (2002)New evidence on the implied-realized vola…The determinants and implications of corporate cash holdings (1999)The determinants and implicat…Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon (1999)Forecasting financial market …The relation between implied and realized volatility (1998)The relation between implied …Predicting Volatility in the Foreign Exchange Market (1995)Predicting Volatility in the …The journal of financial economics (1993)The journal of financial econ…The Informational Content of Implied Volatility (1993)The Informational Content of …Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities (1993)Forecasting Stock-Return Vari…Stock market volatility and the information content of stock index options (1992)Stock market volatility and t…Market volatility prediction and the efficiency of the S & P 100 index option market (1992)Market volatility prediction …S&P 100 Index Option Volatility (1991)S&P 100 Index Option Volatili…Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…The behavior of the volatility implicit in the prices of stock index options (1988)The behavior of the volatilit…The information content of option prices and a test of market efficiency (1978)The information content of op…The pricing of commodity contracts (1976)The pricing of commodity cont…STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …How do market volatility and risk aversion sentiment inter-influence over time? Evidence from Chinese SSE 50 ETF options (2024)How do market volatility and …Forecasting Bitcoin volatility using machine learning techniques (2024)Forecasting Bitcoin volatilit…Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers (2023)Spreading of cross-market vol…The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’? (2014)The implied volatility index:…The forecasting performance of implied volatility index: evidence from India VIX (2014)The forecasting performance o…Do fear indices help predict stock returns? (2014)Do fear indices help predict …Option-based forecasts of volatility: an empirical study in the DAX-index options market (2010)Option-based forecasts of vol…The predictive power of the implied volatility of options traded OTC and on exchanges (2009)The predictive power of the i…Variance Risk Premiums (2008)Variance Risk PremiumsThe relationship between implied and realized volatility: evidence from the Australian stock index option market (2008)The relationship between impl…Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation (2007)Foreign Exchange, Fractional …American option pricing with imprecise risk-neutral probabilities (2007)American option pricing with …A Tale of Two Indices (2006)A Tale of Two IndicesThe Comovement of US and UK Stock Markets (2004)The Comovement of US and UK S…Return-Based and Range-Based (Co)Variance Estimation - with an Application to Foreign Exchange Markets (2002)Return-Based and Range-Based …Life Insurance Contracts with Embedded Options (2001)Life Insurance Contracts with…The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The distribution of realized stock return volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Measuring and Testing the Impact of News on Volatility (1993)The Cross‐Section of Volatility and Expected Returns (2006)Theory of Rational Option Pricing (1973)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)Theory of rational option pricing (2005)Applied Economic Forecasting (1967)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Forecasting Volatility in Financial Markets: A Review (2003)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)Expected Stock Returns and Variance Risk Premia (2009)Risk, Return, and Equilibrium: Empirical Tests (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)The theory and practice of corporate finance: evidence from the field (2001)The Cash Flow Sensitivity of Cash (2004)New Evidence on Measuring Financial Constraints: Moving Beyond the KZ Index (2010)Irreversibility, Uncertainty, and Investment (1990)Noise Dressing of Financial Correlation Matrices (1999)INSTRUMENTAL STAKEHOLDER THEORY: A SYNTHESIS OF ETHICS AND ECONOMICS (1995)THE IMPACT OF HUMAN RESOURCE MANAGEMENT PRACTICES ON PERCEPTIONS OF ORGANIZATIONAL PERFORMANCE. (1996)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Prices of State-Contingent Claims Implicit in Option Prices (1978)On estimating the expected return on the market (1980)
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References

  • 1999The determinants and implications of corporate cash holdings3,910 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1993The journal of financial economics2,614 cited
  • 1990Options, Futures, and Other Derivative Securities.1,244 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 1993The Informational Content of Implied Volatility761 cited
  • 1995Predicting Volatility in the Foreign Exchange Market723 cited
  • 1992Stock market volatility and the information content of stock index options667 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 1993Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities529 cited
  • 1978The information content of option prices and a test of market efficiency485 cited
  • 1999Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon335 cited
  • 1992Market volatility prediction and the efficiency of the S & P 100 index option market297 cited
  • 1988The behavior of the volatility implicit in the prices of stock index options164 cited
  • 1991S&P 100 Index Option Volatility135 cited

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Cited by

  • 2008Variance Risk Premiums1,381 cited
  • 2006A Tale of Two Indices393 cited
  • 2009The predictive power of the implied volatility of options traded OTC and on exchanges65 cited
  • 2023Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers59 cited
  • 2004The Comovement of US and UK Stock Markets53 cited
  • 2014The implied volatility index: Is ‘investor fear gauge’ or ‘forward-looking’?49 cited
  • 2010Option-based forecasts of volatility: an empirical study in the DAX-index options market46 cited
  • 2014Do fear indices help predict stock returns?45 cited
  • 2007American option pricing with imprecise risk-neutral probabilities45 cited
  • 2008The relationship between implied and realized volatility: evidence from the Australian stock index option market36 cited
  • 2001Life Insurance Contracts with Embedded Options35 cited
  • 2007Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation32 cited
  • 2002Return-Based and Range-Based (Co)Variance Estimation - with an Application to Foreign Exchange Markets32 cited
  • 2024Forecasting Bitcoin volatility using machine learning techniques24 cited
  • 2014The forecasting performance of implied volatility index: evidence from India VIX24 cited
  • 2024How do market volatility and risk aversion sentiment inter-influence over time? Evidence from Chinese SSE 50 ETF options19 cited