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Assessing the intraday relationship between implied and historical volatility
16 references·0 citing·34 second hop
Assessing the intraday relationship between implied and historical volatility (1994)Assessing the intraday relationship betwe…Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…Transaction Data Tests of the Mixture of Distributions Hypothesis (1987)Transaction Data Tests of the…Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…The theory and practice of econometrics (1986)The theory and practice of ec…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Option Prices as Predictors of Equilibrium Stock Prices (1982)Option Prices as Predictors o…Standard deviations implied in option prices as predictors of future stock price variability (1981)Standard deviations implied i…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 …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Valuation of Option Contracts and a Test of Market Efficiency (1972)The Valuation of Option Contr…THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)THE VALUATION OF OPTION CONTR…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…The Behavior of Stock-Market Prices (1965)Asset pricing and the bid-ask spread (1986)The Informational Content of Implied Volatility (1993)Liquidity and Asset Prices (2006)Do ETFs Increase Volatility? (2014)An Intertemporal Capital Asset Pricing Model (1973)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Chapter 49 Arch models (1994)Monte Carlo methods for security pricing (1997)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)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Stock Returns and Volatility (1990)Risk and Volatility: Econometric Models and Financial Practice (2004)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Stock market volatility and the information content of stock index options (1992)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)A contingent-claims valuation of convertible securities (1977)THE VALUATION OF AMERICAN PUT OPTIONS (1977)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY718 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 1972The Valuation of Option Contracts and a Test of Market Efficiency612 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks534 cited
  • 1978The information content of option prices and a test of market efficiency485 cited
  • 1982Option Prices as Predictors of Equilibrium Stock Prices415 cited
  • 1981Standard deviations implied in option prices as predictors of future stock price variability371 cited

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  • 1987Transaction Data Tests of the Mixture of Distributions Hypothesis321 cited
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